Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-09521
AMG Funds
(Exact name of registrant as specified in charter)
600 Steamboat Road,
Suite 300, Greenwich, Connecticut 06830
(Address of principal executive offices) (Zip code)
AMG Funds LLC
600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830
(Name and address of agent for service)
Registrant’s telephone number, including area code: (203)299-3500
Date of fiscal year end: October 31
Date of reporting period: November 1, 2019 – April 30, 2020
(Semi-Annual Shareholder Report)
Table of Contents
Item 1. | Reports to Shareholders |
Table of Contents
SEMI-ANNUAL REPORT
|
AMG Funds | ||||||
April 30, 2020 | ||||||
AMG GW&K Core Bond ESG Fund | ||||||
Class N: MBGVX | Class I: MBDFX | Class Z:MBDLX | ||||
AMG GW&K Emerging Wealth Equity Fund | ||||||
(formerly AMG GW&K Trilogy Emerging Wealth Equity Fund) | ||||||
Class N: TYWVX | Class I:TYWSX | Class Z:TYWIX | ||||
AMG GW&K Emerging Markets Equity Fund | ||||||
(formerly AMG GW&K Trilogy Emerging Markets Equity Fund) | ||||||
Class N: TLEVX | Class I:TLESX | Class Z:TLEIX | ||||
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website (https://www.amgfunds.com/resources/order_literature.html), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically at any time by contacting your financial intermediary or, if you invest directly with the Funds, by logging into your account at www.amgfunds.com.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call 1.800.548.4539 to inform the Funds that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds in the AMG Funds Family of Funds held in your account if you invest through your financial intermediary or all funds in the AMG Funds Family of Funds held with the fund complex if you invest directly with the Funds.
amgfunds.com | 043020 | SAR069 |
Table of Contents
Table of Contents
AMG Funds Semi-Annual Report — April 30, 2020 (unaudited) |
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FUND SNAPSHOTS AND SCHEDULES OF PORTFOLIO INVESTMENTS | ||||||
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FINANCIAL STATEMENTS | ||||||
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Balance sheets, net asset value (NAV) per share computations and cumulative distributable earnings (loss) | ||||||
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Detail of sources of income, expenses, and realized and unrealized gains (losses) during the fiscal period | ||||||
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Detail of changes in assets for the past two fiscal periods | ||||||
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Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets | ||||||
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Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks | ||||||
38 |
| Nothing contained herein is to be considered an offer, sale or solicitation of an offer to buy shares of any series of the AMG Funds Family of Funds. Such offering is made only by prospectus, which includes details as to offering price and other material information. |
Table of Contents
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As a shareholder of a Fund, you may incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution(12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on $1,000 invested at the beginning of the period and held for the entire period as indicated below.
ACTUAL EXPENSES
The first line of the following table provides information about the actual account values and | actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s
| actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
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Six Months Ended April 30, 2020 | Expense Ratio for | Beginning Account Value 11/01/19 | Ending Account Value 04/30/20 | Expenses Paid During the Period* | ||||||||||||||||
AMG GW&K Core Bond ESG Fund |
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Based on Actual Fund Return |
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Class N | 0.88 | % | $1,000 | $1,031 | $4.44 | |||||||||||||||
Class I | 0.55 | % | $1,000 | $1,032 | $2.78 | |||||||||||||||
Class Z | 0.48 | % | $1,000 | $1,033 | $2.43 | |||||||||||||||
Based on Hypothetical 5% Annual Return |
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Class N | 0.88 | % | $1,000 | $1,020 | $4.42 | |||||||||||||||
Class I | 0.55 | % | $1,000 | $1,022 | $2.77 | |||||||||||||||
Class Z | 0.48 | % | $1,000 | $1,022 | $2.41 | |||||||||||||||
AMG GW&K Emerging Wealth Equity Fund |
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Based on Actual Fund Return |
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Class N | 1.27 | % | $1,000 | $934 | $6.11 | |||||||||||||||
Class I | 0.97 | % | $1,000 | $935 | $4.67 | |||||||||||||||
Class Z | 0.87 | % | $1,000 | $935 | $4.19 | |||||||||||||||
Based on Hypothetical 5% Annual Return |
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Class N | 1.27 | % | $1,000 | $1,019 | $6.37 | |||||||||||||||
Class I | 0.97 | % | $1,000 | $1,020 | $4.87 | |||||||||||||||
Class Z | 0.87 | % | $1,000 | $1,021 | $4.37 |
Six Months Ended April 30, 2020 | Expense Ratio for | Beginning Account Value 11/01/19 | Ending Account Value 04/30/20 | Expenses Paid During the Period* | ||||||||||||||||
AMG GW&K Emerging Markets Equity Fund |
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Based on Actual Fund Return |
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Class N | 1.39 | % | $1,000 | $873 | $6.47 | |||||||||||||||
Class I | 1.01 | % | $1,000 | $874 | $4.71 | |||||||||||||||
Class Z | 0.99 | % | $1,000 | $874 | $4.61 | |||||||||||||||
Based on Hypothetical 5% Annual Return |
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Class N | 1.39 | % | $1,000 | $1,018 | $6.97 | |||||||||||||||
Class I | 1.01 | % | $1,000 | $1,020 | $5.07 | |||||||||||||||
Class Z | 0.99 | % | $1,000 | $1,020 | $4.97 |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), then divided by 366. |
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Table of Contents
Periods ended April 30, 2020 |
The table below shows the average annual total returns for the periods indicated for each
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Average Annual Total Returns1 | Six Months* | One Year | Five Years | Ten Years | Since Inception | Inception Date | ||||||||||||||||||||
AMG GW&K Core Bond ESG Fund2, 3, 4, 5, 6, 7, 8 |
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Class N | 3.10% | 9.05% | — | — | 3.05% | 05/08/15 | ||||||||||||||||||||
Class I | 3.17% | 9.39% | 3.26% | 3.78% | 5.87% | 04/30/93 | ||||||||||||||||||||
Class Z | 3.30% | 9.48% | — | — | 3.47% | 05/08/15 | ||||||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index®17 | 4.86% | 10.84% | 3.80% | 3.96% | 5.39% | 04/30/93† | ||||||||||||||||||||
AMG GW&K Emerging Wealth Equity Fund2, 6, 9, 10, 11, 12, 13, 14 |
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Class N | (6.65%) | (10.47%) | 3.56% | — | 4.36% | 03/19/15 | ||||||||||||||||||||
Class I | (6.53%) | (10.19%) | 3.84% | — | 4.63% | 03/19/15 | ||||||||||||||||||||
Class Z | (6.49%) | (10.09%) | 3.92% | — | 4.73% | 03/19/15 | ||||||||||||||||||||
MSCI Emerging Markets Index18 | (10.50%) | (12.00%) | (0.10%) | — | 1.58% | 03/19/15† | ||||||||||||||||||||
AMG GW&K Emerging Markets Equity Fund2, 6, 9, 10, 11, 12, 13, 14, 15, 16 |
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Class N | (12.68%) | (15.61%) | 0.66% | — | (0.68%) | 03/01/12 | ||||||||||||||||||||
Class I | (12.58%) | (15.35%) | 1.00% | — | (1.04%) | 03/01/11 | ||||||||||||||||||||
Class Z | (12.60%) | (15.35%) | 1.09% | — | (0.95%) | 03/01/11 | ||||||||||||||||||||
MSCI Emerging Markets Index18 | (10.50%) | (12.00%) | (0.10%) | — | 0.43% | 03/01/11† | ||||||||||||||||||||
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. |
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Investors should carefully consider the Fund’s investment objectives, risks, charges and expenses before investing. For performance information through the most recent month end, current net asset values per share for the Funds and other information, please call 800.548.4539 or visit our website at amgfunds.com for a free prospectus. Read it carefully before investing or sending money. | ||||||||||||||||||||||||||
Distributed by AMG Distributors, Inc., member FINRA/SIPC.
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† Date reflects the inception date of the Fund, not the index.
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* Not annualized.
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1 Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns for periods greater than one year are annualized. The listed returns on the Funds are net of expenses and based on the published NAV as of April 30, 2020. All returns are in U.S. dollars ($).
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2 From time to time, the Fund’s advisor has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns.
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3 To the extent that the Fund invests in asset-backed or mortgage-backed securities, its exposure to prepayment and extension risks may be greater than investments in other fixed income securities.
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4 Active and frequent trading of a fund may result in higher transaction costs and increased tax liability. |
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5 The Fund is subject to the risks associated with investments in debt securities, such as default risk and fluctuations in |
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the perception of the debtor’s ability to pay its creditors. Changing interest rates may adversely affect the value of an investment. An increase in interest rates typically causes the value of bonds and other fixed income securities to fall.
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6 The Fund may invest in derivatives such as options and futures; the complexity and rapidly changing structure of derivatives markets may increase the possibility of market losses.
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7 Many bonds have call provisions which allow the debtors to pay them back before maturity. This is especially true with mortgage securities, which can be paid back anytime. Typically debtors prepay their debt when it is to their advantage (when interest rates drop making a new loan at current rates more attractive), and thus likely to the disadvantage of bondholders, who may have to reinvest prepayment proceeds in securities with lower yields. Prepayment risk will vary depending on the provisions of the security and current interest rates relative to the interest rate of the debt.
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8 Applying the Fund’s ESG investment criteria may result in the selection or exclusion of securities of certain issuers for reasons other than performance, and the Fund may underperform funds that do not utilize an ESG investment strategy. The application of this strategy may affect the Fund’s exposure to certain companies, sectors, regions, countries or types of investments, which could negatively impact the Fund’s performance depending on whether such investments are in or out of favor. Applying ESG criteria to investment decisions is qualitative and subjective by nature, and there is no guarantee that the criteria |
utilized by the Subadviser or any judgment exercised by the Subadviser will reflect the beliefs or values of any particular investor.
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9 Investments in international securities are subject to certain risks of overseas investing including currency fluctuations and changes in political and economic conditions, which could result in significant market fluctuations. These risks are magnified in emerging markets.
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10 The Fund is subject to the risks associated with investments in emerging markets, such as erratic earnings patterns, economic and political instability, changing exchange controls, limitations on repatriation of foreign capital and changes in local governmental attitudes toward private investment, possibly leading to nationalization or confiscation of investor assets.
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11 The Fund is subject to currency risk resulting from fluctuations in exchange rates that may affect the total loss or gain on anon-U.S. Dollar investment when converted back to U.S. Dollars.
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12 The Fund is subject to risks associated with investments inmid-capitalization companies such as greater price volatility, lower trading volume, and less |
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Table of Contents
Fund Performance Periods ended April 30, 2020(continued) |
liquidity than the stocks of larger, more established companies.
13 The Fund is subject to risks associated with investments in small-capitalization companies, such as erratic earnings patterns, competitive conditions, limited earnings history and a reliance on one or a limited number of products.
14 Companies that are in similar businesses may be similarly affected by particular economic or market events; to the extent the Fund has substantial holdings within a particular sector, the risks associated with that sector increase.
15 The Fund invests in growth stocks, which may be more sensitive to market movements because their prices tend to reflect future investor expectations rather than just current profits. Growth stocks may underperform value stocks during given periods.
16 Investing in initial public offerings (IPOs) is risky and the prices of stocks purchased in IPOs tend to fluctuate more widely than stocks of companies that have been publicly traded for a longer period of time. Stocks purchased in IPOs generally do not have a | trading history, and information about the companies may be available for very limited periods.
17 The Bloomberg Barclays U.S. Aggregate Bond Index® is an index of the U.S. investment-grade fixed-rate bond market, including both government and corporate bonds. Unlike the Fund, the Bloomberg Barclays U.S. Aggregate Bond Index® is unmanaged, is not available for investment and does not incur expenses.
18 The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. Please go to msci.com for most current list of countries represented by the index. Unlike the Fund, the MSCI Emerging Markets Index is unmanaged, is not available for investment and does not incur expenses.
Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). BARCLAYS® is a trademark and service mark of Barclays Bank Plc (collectively with its affiliates,
| “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
All MSCI data is provided “as is”. The products described herein are not sponsored or endorsed and have not been reviewed or passed on by MSCI. In no event shall MSCI, its affiliates or any MSCI data provider have any liability of any kind in connection with the MSCI data or the products described herein. Copying or redistributing the MSCI data is strictly prohibited.
Not FDIC insured, nor bank guaranteed. May lose value. |
4 |
Table of Contents
Fund Snapshots(unaudited) April 30, 2020 |
PORTFOLIO BREAKDOWN
Category | % of Net Assets | ||||
Corporate Bonds and Notes | 47.7 | ||||
U.S. Government and Agency Obligations | 42.0 | ||||
Municipal Bonds | 7.6 | ||||
Short-Term Investments | 3.9 | ||||
Other Assets Less Liabilities | (1.2 | ) |
Rating | % of Market Value1 | ||||
U.S. Government and Agency Obligations | 43.2 | ||||
Aaa/AAA | 1.0 | ||||
Aa/AA | 19.9 | ||||
A | 24.2 | ||||
Baa/BBB | 11.7 |
1 | Includes market value of long-term fixed-income securities only. |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |||
United States Treasury Bonds, 4.500%, 02/15/36 | 4.4 | |||
FNMA, 4.500%, 06/01/41 | 2.6 | |||
FHLMC, 2.500%, 10/01/34 | 2.5 | |||
FNMA, 4.500%, 04/01/39 | 2.5 | |||
FNMA, 4.500%, 04/01/39 | 2.5 | |||
FNMA, 3.500%, 03/01/48 | 2.3 | |||
Verizon Communications, Inc., 3.875%, 02/08/29 | 2.1 | |||
Morgan Stanley, 4.431%, 01/23/30 | 2.0 | |||
Oracle Corp., 2.500%, 04/01/25 | 2.0 | |||
FNMA, 5.000%, 08/01/40 | 2.0 | |||
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Top Ten as a Group | 24.9 | |||
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Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
5 |
Table of Contents
AMG GW&K Core Bond ESG Fund Schedule of Portfolio Investments(unaudited) April 30, 2020 |
Principal Amount | Value | |||||||
Corporate Bonds and Notes - 47.7% |
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Financials - 17.3% | ||||||||
American Tower Corp. 3.375%, 10/15/26 | $ | 2,091,000 | $ | 2,255,878 | ||||
Bank of America Corp., MTN | 3,403,000 | 3,735,113 | ||||||
The Bank of New York Mellon Corp., MTN | 1,049,000 | 1,098,352 | ||||||
Berkshire Hathaway, Inc. | 3,017,000 | 3,321,215 | ||||||
Boston Properties, LP 3.400%, 06/21/29 | 1,945,000 | 2,022,859 | ||||||
Citigroup, Inc. | 3,833,000 | 4,096,019 | ||||||
CME Group, Inc. | 955,000 | 1,107,742 | ||||||
Crown Castle International Corp. | 1,931,000 | 2,140,545 | ||||||
The Goldman Sachs Group, Inc. | 3,032,000 | 3,226,616 | ||||||
JPMorgan Chase & Co. | 2,038,000 | 2,140,877 | ||||||
Morgan Stanley, GMTN | 3,633,000 | 4,209,707 | ||||||
National Rural Utilities Cooperative Finance Corp., MTN | 1,994,000 | 2,175,065 | ||||||
Simon Property Group LP | 1,979,000 | 1,956,719 | ||||||
Visa, Inc. | 2,496,000 | 2,760,297 | ||||||
Total Financials | 36,247,004 | |||||||
Industrials - 29.3% | ||||||||
Advocate Health & Hospitals Corp. | 1,881,000 | 2,362,762 | ||||||
Apple, Inc. | 1,940,000 | 2,121,982 | ||||||
AT&T, Inc. | 1,926,000 | 2,126,203 | ||||||
Automatic Data Processing, Inc. | 2,871,000 | 3,191,568 | ||||||
The Coca-Cola Co. | 3,110,000 | 3,111,457 | ||||||
Comcast Corp. | 1,830,000 | 2,146,007 | ||||||
CommonSpirit Health | 2,569,000 | 2,542,482 | ||||||
Costco Wholesale Corp. | 2,200,000 | 2,190,478 | ||||||
Principal Amount | Value | |||||||
CVS Health Corp. | $ | 1,824,000 | $ | 2,288,559 | ||||
Fiserv, Inc. | 1,824,000 | 2,077,455 | ||||||
The George Washington University Series 2018 | 2,941,000 | 3,509,341 | ||||||
Georgia-Pacific LLC | 1,583,000 | 1,928,143 | ||||||
Kaiser Foundation Hospitals | 2,015,000 | 2,218,669 | ||||||
Lowe’s Cos., Inc. | 1,900,000 | 2,110,165 | ||||||
McDonald’s Corp., MTN | 2,450,000 | 2,742,260 | ||||||
Microsoft Corp. | 1,728,000 | 2,123,958 | ||||||
Oracle Corp. | 3,992,000 | 4,208,497 | ||||||
Parker-Hannifin Corp. | 2,039,000 | 2,163,454 | ||||||
Precision Castparts Corp. | 1,914,000 | 2,084,125 | ||||||
RELX Capital, Inc. | 1,926,000 | 2,107,093 | ||||||
Sysco Corp. | 2,465,000 | 2,271,589 | ||||||
T-Mobile USA, Inc. | 1,000,000 | 1,062,420 | ||||||
TWDC Enterprises 18 Corp., MTN | 2,080,000 | 2,114,382 | ||||||
Verizon Communications, Inc. | 3,806,000 | 4,395,654 | ||||||
VF Corp. | 2,066,000 | 2,120,114 | ||||||
Total Industrials | 61,318,817 | |||||||
Utilities - 1.1% | ||||||||
Northern States Power Co. | 2,138,000 | 2,353,504 | ||||||
Total Corporate Bonds and Notes | ||||||||
(Cost $93,735,849) | 99,919,325 | |||||||
Municipal Bonds - 7.6% | ||||||||
California State General Obligation, School Improvements | 2,475,000 | 4,160,821 | ||||||
JobsOhio Beverage System, | 1,845,000 | 2,258,797 | ||||||
Los Angeles Unified School District, School Improvements | 2,855,000 | 3,793,638 | ||||||
The accompanying notes are an integral part of these financial statements. 6 |
Table of Contents
AMG GW&K Core Bond ESG Fund Schedule of Portfolio Investments(continued) |
Principal Amount | Value | |||||||
Metropolitan Transportation Authority 6.687%, 11/15/40 | $1,825,000 | $2,211,553 | ||||||
University of California, University & College Improvements, Series BD 3.349%, 07/01/29 | 3,055,000 | 3,409,716 | ||||||
Total Municipal Bonds | ||||||||
(Cost $14,737,403) | 15,834,525 | |||||||
U.S. Government and Agency Obligations - 42.0% |
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Fannie Mae - 24.3% | ||||||||
FNMA | ||||||||
3.000%, 09/01/46 to 11/01/46 | 4,581,673 | 4,900,507 | ||||||
3.500%, 03/01/30 to 03/01/48 | 10,623,176 | 11,509,021 | ||||||
4.000%, 03/01/44 to 07/01/49 | 10,639,367 | 11,736,138 | ||||||
4.500%, 04/01/39 to 06/01/41 | 16,730,552 | 18,612,448 | ||||||
5.000%, 08/01/40 | 3,643,029 | 4,169,363 | ||||||
Total Fannie Mae | 50,927,477 | |||||||
Freddie Mac - 8.2% |
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FHLMC | ||||||||
2.500%, 10/01/34 | 5,000,527 | 5,269,332 | ||||||
5.000%, 07/01/44 | 2,694,567 | 3,079,065 | ||||||
FHLMC Gold Pool | ||||||||
3.000%, 06/01/43 | 324,088 | 352,487 | ||||||
3.500%, 07/01/32 to 05/01/44 | 2,484,097 | 2,691,912 | ||||||
4.000%, 05/01/26 | 141,919 | 150,184 | ||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
Series K071, Class A2 3.286%, 11/25/27 | 1,912,000 | 2,179,144 | ||||||
Series K062, Class A2 3.413%, 12/25/26
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| 513,000
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| 584,889
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Principal Amount | Value | |||||||
FHLMC Multifamily Structured Pass Through Certificates Series K063, Class A2 3.430%, 01/25/272 | $2,544,000 | $2,902,468 | ||||||
Total Freddie Mac | 17,209,481 | |||||||
U.S. Treasury Obligations - 9.5% |
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United States Treasury Bonds | ||||||||
3.500%, 02/15/39 | 1,700,000 | 2,443,418 | ||||||
4.500%, 02/15/36 | 5,972,000 | 9,243,070 | ||||||
United States Treasury Notes | ||||||||
2.000%, 11/30/22 | 3,894,000 | 4,071,512 | ||||||
6.250%, 08/15/23 | 3,431,000 | 4,108,488 | ||||||
Total U.S. Treasury Obligations | 19,866,488 | |||||||
Total U.S. Government and Agency Obligations |
| |||||||
(Cost $82,215,648) | 88,003,446 | |||||||
Shares | ||||||||
Short-Term Investments - 3.9% | ||||||||
Other Investment Companies - 3.9% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.20%3 | 8,099,748 | 8,099,748 | ||||||
Total Short-Term Investments | ||||||||
(Cost $8,099,748) | 8,099,748 | |||||||
Total Investments - 101.2% | ||||||||
(Cost $198,788,648) | 211,857,044 | |||||||
Other Assets, less Liabilities - (1.2)% |
| (2,435,055 | ) | |||||
Net Assets - 100.0% |
| $209,421,989
|
|
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified buyers. At April 30, 2020, the value of these securities amounted to $1,062,420 or 0.5% of net assets. |
2 | Variable rate security. The rate shown is based on the latest available information as of April 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
3 | Yield shown represents the April 30, 2020, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
FHLMC | Freddie Mac | |
FNMA | Fannie Mae | |
GMTN | Global Medium-Term Notes | |
MTN | Medium-Term Note |
The accompanying notes are an integral part of these financial statements. 7 |
Table of Contents
AMG GW&K Core Bond ESG Fund Schedule of Portfolio Investments(continued) |
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of April 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Corporate Bonds and Notes† | — | $99,919,325 | — | $99,919,325 | ||||||||||||
Municipal Bonds | — | 15,834,525 | — | 15,834,525 | ||||||||||||
U.S. Government and Agency Obligations† | — | 88,003,446 | — | 88,003,446 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Other Investment Companies | $8,099,748 | — | — | 8,099,748 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $8,099,748 | $203,757,296 | — | $211,857,044 | ||||||||||||
|
|
|
|
|
|
|
|
† | All corporate bonds and notes and U.S. government and agency obligations held in the Fund are Level 2 securities. For a detailed breakout of corporate bonds and notes and U.S. government and agency obligations by major industry or agency classification, please refer to the Fund’s Schedule of Portfolio Investments. |
For the six months ended April 30, 2020, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements. 8 |
Table of Contents
AMG GW&K Emerging Wealth Equity Fund Fund Snapshots(unaudited) April 30, 2020 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |||
Consumer Discretionary | 39.8 | |||
Financials | 19.7 | |||
Information Technology | 11.0 | |||
Communication Services | 7.1 | |||
Health Care | 7.0 | |||
Consumer Staples | 5.8 | |||
Materials | 3.1 | |||
Industrials | 1.3 | |||
Short-Term Investments | 5.4 | |||
Other Assets Less Liabilities | (0.2 | ) |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |||
Alibaba Group Holding, Ltd., Sponsored ADR (China) | 7.8 | |||
Infineon Technologies AG (Germany) | 6.0 | |||
Sands China, Ltd. (Macau) | 5.1 | |||
Yum China Holdings, Inc. (China) | 4.7 | |||
Ping An Insurance Group Co. of China, Ltd., Class H (China) | 4.5 | |||
AIA Group, Ltd. (Hong Kong) | 4.2 | |||
QUALCOMM, Inc. | 4.2 | |||
Trip.com Group, Ltd., ADR (China) | 3.7 | |||
HDFC Bank, Ltd., ADR (India) | 3.3 | |||
Kotak Mahindra (India) | 2.8 | |||
|
|
| ||
Top Ten as a Group | 46.3 | |||
|
|
| ||
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
9 |
Table of Contents
AMG GW&K Emerging Wealth Equity Fund Schedule of Portfolio Investments(unaudited) April 30, 2020 |
Shares | Value | |||||||
Common Stocks - 94.8% | ||||||||
Communication Services - 7.1% |
| |||||||
Baidu, Inc., Sponsored ADR (China)* | 2,132 | $215,183 | ||||||
iQIYI, Inc., ADR (China)*,1 | 134,178 | 2,277,001 | ||||||
Tencent Holdings, Ltd. (China) | 47,190 | 2,480,752 | ||||||
Tencent Music Entertainment Group, ADR (China)* | 326,775 | 3,728,503 | ||||||
The Walt Disney Co. (United States) | 11,791 | 1,275,196 | ||||||
Total Communication Services | 9,976,635 | |||||||
Consumer Discretionary - 39.8% |
| |||||||
Alibaba Group Holding, Ltd., Sponsored ADR (China)* | 53,931 | 10,930,196 | ||||||
Booking Holdings, Inc. (United States)* | 751 | 1,111,908 | ||||||
Eicher Motors, Ltd. (India) | 7,380 | 1,433,091 | ||||||
Hermes International (France) | 1,873 | 1,369,301 | ||||||
Huazhu Group Ltd., ADR (China)1 | 90,451 | 3,257,141 | ||||||
Jubilant Foodworks, Ltd. (India) | 113,120 | 2,426,731 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 5,620 | 2,172,661 | ||||||
MakeMyTrip, Ltd. (India)*,1 | 150,639 | 2,223,432 | ||||||
Maruti Suzuki India, Ltd. (India) | 18,148 | 1,288,356 | ||||||
Moncler SpA (Italy) | 73,637 | 2,769,272 | ||||||
New Oriental Education & Technology Group, Inc., Sponsored ADR | 9,485 | 1,210,855 | ||||||
NIKE, Inc., Class B (United States) | 15,356 | 1,338,736 | ||||||
Sands China, Ltd. (Macau) | 1,741,600 | 7,050,862 | ||||||
Starbucks Corp. (United States) | 17,121 | 1,313,694 | ||||||
TAL Education Group, ADR (China)* | 47,340 | 2,565,355 | ||||||
Titan Co., Ltd. (India) | 102,630 | 1,312,472 | ||||||
Trip.com Group, Ltd., ADR (China)* | 199,670 | 5,143,499 | ||||||
Yum China Holdings, Inc. (China) | 135,664 | 6,574,278 | ||||||
Total Consumer Discretionary | 55,491,840 | |||||||
Consumer Staples - 5.8% |
| |||||||
The Estee Lauder Cos., Inc., Class A (United States) | 4,920 | 867,888 | ||||||
Kweichow Moutai Co., Ltd., Class A (China) | 4,393 | 782,586 | ||||||
LG Household & Health Care, Ltd. (South Korea) | 3,417 | 3,874,866 | ||||||
Unilever NV (United Kingdom) | 11,689 | 582,107 | ||||||
Wal-Mart de Mexico, SAB de CV (Mexico) | 289,610 | 699,001 | ||||||
Wuliangye Yibin Co., Ltd., Class A (China) | 65,203 | 1,240,495 | ||||||
Total Consumer Staples | 8,046,943 | |||||||
Financials - 19.7% | ||||||||
AIA Group, Ltd. (Hong Kong) | 639,500 | 5,869,183 | ||||||
Bank Mandiri Persero Tbk PT (Indonesia) | 1,771,070 | 526,471 | ||||||
China International Capital Corp., Ltd. (China)2 | 377,600 | 579,883 | ||||||
Shares | Value | |||||||
China Merchants Bank Co., Ltd., Class H (China) | 373,550 | $1,767,755 | ||||||
Credicorp, Ltd. (Peru) | 8,109 | 1,208,403 | ||||||
Grupo Financiero Banorte, S.A.B de CV (Mexico) | 325,090 | 889,981 | ||||||
HDFC Bank, Ltd., ADR (India)1 | 106,251 | 4,605,981 | ||||||
Kotak Mahindra (India) | 216,106 | 3,880,974 | ||||||
Ping An Insurance Group Co. of China, Ltd., Class H (China) | 619,750 | 6,306,738 | ||||||
Sberbank of Russia PJSC, Sponsored ADR (Russia) | 172,481 | 1,831,136 | ||||||
Total Financials | 27,466,505 | |||||||
Health Care - 7.0% | ||||||||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd., Class A (China) | 723,340 | 2,948,920 | ||||||
CSPC Pharmaceutical Group, Ltd. (China) | 318,000 | 629,550 | ||||||
Jiangsu Hengrui Medicine Co., Ltd., Class A (China)* | 98,570 | 1,281,953 | ||||||
Meinian Onehealth Healthcare Holdings Co., Ltd., Class A (China) | 333,420 | 536,478 | ||||||
Novo Nordisk A/S, Class B (Denmark) | 17,724 | 1,130,614 | ||||||
Ping An Healthcare and Technology Co., Ltd. (China)*,2 | 232,350 | 3,200,852 | ||||||
Total Health Care | 9,728,367 | |||||||
Industrials - 1.3% | ||||||||
FANUC Corp. (Japan) | 8,780 | 1,433,013 | ||||||
Havells India, Ltd. (India) | 59,726 | 445,142 | ||||||
Total Industrials | 1,878,155 | |||||||
Information Technology - 11.0% |
| |||||||
Infineon Technologies AG (Germany) | 449,655 | 8,359,540 | ||||||
Mastercard, Inc., Class A (United States) | 4,256 | 1,170,272 | ||||||
QUALCOMM, Inc. (United States) | 74,191 | 5,836,606 | ||||||
Total Information Technology | 15,366,418 | |||||||
Materials - 3.1% | ||||||||
Asian Paints, Ltd. (India) | 82,854 | 1,933,242 | ||||||
Chr Hansen Holding A/S (Denmark) | 23,729 | 2,046,003 | ||||||
Novozymes A/S (Denmark) | 5,950 | 291,887 | ||||||
Total Materials | 4,271,132 | |||||||
Total Common Stocks | 132,225,995 | |||||||
The accompanying notes are an integral part of these financial statements. 10 |
Table of Contents
AMG GW&K Emerging Wealth Equity Fund Schedule of Portfolio Investments(continued) |
Principal Amount | Value | |||||||
Short-Term Investments - 5.4% | ||||||||
Joint Repurchase Agreements - 1.7%3 |
| |||||||
Citigroup Global Markets, Inc., dated 04/30/20, due 05/01/20, 0.040% total to be received $1,000,001 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.500% - 6.500%, 05/31/20 - 02/01/57, totaling $1,020,000) | $1,000,000 | $1,000,000 | ||||||
Nomura Securities International, Inc., dated 04/30/20, due 05/01/20, 0.040% total to be received $357,894 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 8.000%, 05/15/20 - 01/20/70, totaling $365,052) | 357,894 | 357,894 | ||||||
RBC Dominion Securities, Inc., dated 04/30/20, due 05/01/20, 0.040% total to be received $1,000,001 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 6.000%, 07/15/24 - 05/01/50, totaling $1,020,000) | 1,000,000 | 1,000,000 | ||||||
Total Joint Repurchase Agreements | 2,357,894 | |||||||
Shares | Value | |||||||
Other Investment Companies - 3.7% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.20%4 | 5,173,298 | $5,173,298 | ||||||
Total Short-Term Investments | 7,531,192 | |||||||
Total Investments - 100.2% | 139,757,187 | |||||||
Other Assets, less Liabilities - (0.2)% |
| (243,216 | ) | |||||
Net Assets - 100.0% | $139,513,971 | |||||||
* | Non-income producing security. |
1 | Some of these securities, amounting to $7,115,207 or 5.1% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified buyers. At April 30, 2020, the value of these securities amounted to $3,780,735 or 2.7% of net assets. |
3 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
4 | Yield shown represents the April 30, 2020, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
ADR American Depositary Receipt
The accompanying notes are an integral part of these financial statements. 11 |
Table of Contents
AMG GW&K Emerging Wealth Equity Fund Schedule of Portfolio Investments(continued) |
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of April 30, 2020:
Level 1 | Level 21 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $35,669,094 | $19,822,746 | — | $55,491,840 | ||||||||||||
Financials | 6,704,365 | 20,762,140 | — | 27,466,505 | ||||||||||||
Information Technology | 7,006,878 | 8,359,540 | — | 15,366,418 | ||||||||||||
Communication Services | 7,495,883 | 2,480,752 | — | 9,976,635 | ||||||||||||
Health Care | — | 9,728,367 | — | 9,728,367 | ||||||||||||
Consumer Staples | 1,566,889 | 6,480,054 | — | 8,046,943 | ||||||||||||
Materials | — | 4,271,132 | — | 4,271,132 | ||||||||||||
Industrials | — | 1,878,155 | — | 1,878,155 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | 2,357,894 | — | 2,357,894 | ||||||||||||
Other Investment Companies | 5,173,298 | — | — | 5,173,298 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $63,616,407 | $76,140,780 | — | $139,757,187 | ||||||||||||
|
|
|
|
|
|
|
|
1 | An external pricing service is used to reflect any impact on security value due to market movements between the time the Fund valued such foreign securities and the earlier closing of foreign markets. |
For the six months ended April 30, 2020, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements. 12 |
Table of Contents
AMG GW&K Emerging Wealth Equity Fund Schedule of Portfolio Investments(continued) |
The country allocation in the Schedule of Portfolio Investments at April 30, 2020, was as follows:
Country | % of Long-Term Investments | |||
China | 43.6 | |||
Denmark | 2.6 | |||
France | 2.7 | |||
Germany | 6.3 | |||
Hong Kong | 4.4 | |||
India | 14.8 | |||
Indonesia | 0.4 | |||
Italy | 2.1 | |||
Japan | 1.1 | |||
Macau | 5.3 | |||
Mexico | 1.2 | |||
Peru | 0.9 | |||
Russia | 1.4 | |||
South Korea | 2.9 | |||
United Kingdom | 0.5 | |||
United States | 9.8 | |||
|
|
| ||
100.0 | ||||
|
|
|
The accompanying notes are an integral part of these financial statements. 13 |
Table of Contents
AMG GW&K Emerging Markets Equity Fund Fund Snapshots(unaudited) April 30, 2020 |
PORTFOLIO BREAKDOWN
Sector
| % of Net Assets
| |
Consumer Discretionary | 23.3 | |
Financials | 23.1 | |
Information Technology | 16.5 | |
Communication Services | 15.2 | |
Consumer Staples | 10.0 | |
Health Care | 5.8 | |
Industrials | 3.6 | |
Energy | 3.5 | |
Materials | 0.5 | |
Short-Term Investments | 3.5 | |
Other Assets Less Liabilities | (5.0) |
TOP TEN HOLDINGS
Security Name
| % of
| |
Alibaba Group Holding, Ltd., Sponsored ADR (China) | 6.7 | |
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 5.8 | |
Tencent Holdings, Ltd. (China) | 5.5 | |
Samsung Electronics Co., Ltd. (South Korea) | 5.1 | |
Ping An Insurance Group Co. of China, Ltd., Class H (China) | 3.1 | |
Prosus, N.V. (Netherlands) | 2.9 | |
HDFC Bank, Ltd. (India) | 2.7 | |
Housing Development Finance Corp., Ltd. (India) | 2.6 | |
Sberbank of Russia PJSC, Sponsored ADR (Russia) | 2.4 | |
Reliance Industries, Ltd. (India) | 2.2 | |
| ||
Top Ten as a Group | 39.0 | |
| ||
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
14 |
Table of Contents
AMG GW&K Emerging Markets Equity Fund Schedule of Portfolio Investments(unaudited) April 30, 2020 |
Shares | Value | |||||||
Common Stocks - 101.5% |
| |||||||
Communication Services - 15.2% |
| |||||||
58.com, Inc., ADR (China)* | 7,539 | $391,651 | ||||||
Autohome, Inc., ADR (China) | 2,556 | 209,975 | ||||||
Baidu, Inc., Sponsored ADR (China)* | 5,962 | 601,745 | ||||||
iQIYI, Inc., ADR (China)*,1 | 22,686 | 384,981 | ||||||
MultiChoice Group (South Africa)* | 77,533 | 363,390 | ||||||
NetEase, Inc., ADR (China) | 1,718 | 592,641 | ||||||
Telekomunikasi Indonesia Persero Tbk PT (Indonesia) | 2,026,421 | 465,980 | ||||||
Tencent Holdings, Ltd. (China) | 47,706 | 2,507,878 | ||||||
Tencent Music Entertainment Group, ADR (China)* | 84,222 | 960,973 | ||||||
Zee Entertainment Enterprises, Ltd. (India) | 225,049 | 471,669 | ||||||
Total Communication Services | 6,950,883 | |||||||
Consumer Discretionary - 23.3% |
| |||||||
Alibaba Group Holding, Ltd., Sponsored ADR (China)* | 15,091 | 3,058,493 | ||||||
Feng TAY Enterprise Co., Ltd. (Taiwan) | 150,280 | 854,970 | ||||||
Hanon Systems (South Korea) | 23,788 | 179,189 | ||||||
MakeMyTrip, Ltd. (India)* | 30,458 | 449,560 | ||||||
Maruti Suzuki India, Ltd. (India) | 2,225 | 157,956 | ||||||
Midea Group Co., Ltd., Class A (China) | 57,185 | 428,511 | ||||||
Naspers, Ltd., N Shares (South Africa) | 5,663 | 881,438 | ||||||
New Oriental Education & Technology Group, Inc., Sponsored ADR (China)* | 4,197 | 535,789 | ||||||
Prosus, N.V. (Netherlands)* | 17,522 | 1,328,364 | ||||||
Sands China, Ltd. (Macau) | 166,639 | 674,638 | ||||||
Shenzhou International Group Holdings, Ltd. (China) | 57,922 | 668,515 | ||||||
Trip.com Group, Ltd., ADR (China)* | 25,142 | 647,658 | ||||||
Yum China Holdings, Inc. (China) | 15,672 | 759,465 | ||||||
Total Consumer Discretionary | 10,624,546 | |||||||
Consumer Staples - 10.0% | ||||||||
Bid Corp., Ltd. (South Africa) | 41,902 | 546,076 | ||||||
BIM Birlesik Magazalar AS (Turkey) | 24,563 | 195,038 | ||||||
CP All PCL (Thailand) | 55,500 | 121,319 | ||||||
CP All PCL, Class F (Thailand) | 117,868 | 257,650 | ||||||
Dino Polska S.A. (Poland)*,1,2 | 9,498 | 401,668 | ||||||
Fomento Economico Mexicano, S.A.B de CV (Mexico) | 61,696 | 398,089 | ||||||
Inner Mongolia Yili Industrial Group Co., Ltd., Class A (China) | 65,400 | 268,156 | ||||||
Kweichow Moutai Co., Ltd., Class A (China) | 1,600 | 285,030 | ||||||
LG Household & Health Care, Ltd. (South Korea) | 550 | 623,698 | ||||||
Shares | Value | |||||||
Wal-Mart de Mexico, SAB de CV (Mexico) | 244,686 | $590,572 | ||||||
Wuliangye Yibin Co., Ltd., Class A (China) | 47,200 | 897,986 | ||||||
Total Consumer Staples | 4,585,282 | |||||||
Energy - 3.5% | ||||||||
Novatek PJSC, Sponsored GDR (Russia) | 4,364 | 611,972 | ||||||
Reliance Industries, Ltd. (India) | 50,438 | 980,667 | ||||||
Total Energy | 1,592,639 | |||||||
Financials - 23.1% | ||||||||
AIA Group, Ltd. (Hong Kong) | 92,968 | 853,239 | ||||||
Banco Bradesco, S.A., ADR (Brazil) | 175,569 | 618,003 | ||||||
Banco de Chile, ADR (Chile)1 | 12,895 | 231,465 | ||||||
Bancolombia, S.A., Sponsored ADR (Colombia) | 12,812 | 334,393 | ||||||
Bank Mandiri Persero Tbk PT (Indonesia) | 1,241,716 | 369,114 | ||||||
Bank Rakyat Indonesia Persero Tbk PT (Indonesia) | 2,476,901 | 450,517 | ||||||
BDO Unibank, Inc. (Philippines) | 185,987 | 365,960 | ||||||
Credicorp, Ltd. (Peru) | 3,881 | 578,347 | ||||||
Grupo Financiero Banorte, S.A.B de CV (Mexico) | 119,324 | 326,667 | ||||||
HDFC Bank, Ltd. (India) | 95,140 | 1,249,355 | ||||||
Housing Development Finance Corp., Ltd. (India) | 47,669 | 1,205,778 | ||||||
Itau Unibanco Holding, S.A., Sponsored ADR (Brazil) | 130,942 | 551,266 | ||||||
Noah Holdings, Ltd., ADR (China)*,1 | 6,559 | 182,078 | ||||||
OTP Bank Plc (Hungary) | 16,965 | 502,435 | ||||||
Ping An Insurance Group Co. of China, Ltd., Class H (China) | 141,220 | 1,437,092 | ||||||
Sberbank of Russia PJSC, Sponsored ADR (Russia) | 101,360 | 1,076,083 | ||||||
Turkiye Garanti Bankasi, A.S. (Turkey)* | 179,738 | 214,467 | ||||||
Total Financials | 10,546,259 | |||||||
Health Care - 5.8% | ||||||||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd., Class A (China) | 146,500 | 597,253 | ||||||
Fleury, S.A. (Brazil) | 142,231 | 594,253 | ||||||
Lepu Medical Technology Beijing Co., Ltd., Class A (China) | 72,500 | 387,363 | ||||||
Meinian Onehealth Healthcare Holdings Co., Ltd., Class A (China) | 185,600 | 298,633 | ||||||
Microport Scientific Corp. (China) | 139,800 | 300,278 | ||||||
Odontoprev, S.A. (Brazil) | 166,811 | 470,564 | ||||||
Total Health Care | 2,648,344 | |||||||
Industrials - 3.6% | ||||||||
Adani Ports & Special Economic Zone, Ltd. (India) | 110,358 | 423,724 | ||||||
Copa Holdings, S.A., Class A (Panama) | 3,834 | 169,501 | ||||||
The accompanying notes are an integral part of these financial statements. 15 |
Table of Contents
AMG GW&K Emerging Markets Equity Fund Schedule of Portfolio Investments(continued) |
Shares | Value | |||||||
Industrials - 3.6%(continued) |
| |||||||
Grupo Aeroportuario del Pacifico, S.A.B de CV, Class B (Mexico) | 47,462 | $294,646 | ||||||
Shanghai International Airport Co., Ltd., Class A (China) | 77,669 | 770,316 | ||||||
Total Industrials | 1,658,187 | |||||||
Information Technology - 16.5% |
| |||||||
Advantech Co., Ltd. (Taiwan) | 26,369 | 249,406 | ||||||
Delta Electronics, Inc. (Taiwan) | 117,100 | 546,179 | ||||||
Infosys, Ltd., Sponsored ADR (India) | 32,064 | 295,951 | ||||||
Pagseguro Digital, Ltd., Class A(Brazil)*,1 | 14,522 | 367,842 | ||||||
Samsung Electronics Co., Ltd. (South Korea) | 56,367 | 2,317,674 | ||||||
SK Hynix, Inc. (South Korea) | 11,409 | 785,139 | ||||||
Sunny Optical Technology Group Co., Ltd. (China) | 23,676 | 329,701 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 260,632 | 2,629,203 | ||||||
Total Information Technology | 7,521,095 | |||||||
Materials - 0.5% | ||||||||
LG Chem, Ltd. (South Korea) | 682 | 211,906 | ||||||
Total Common Stocks | ||||||||
(Cost $43,948,137) | 46,339,141 | |||||||
Principal Amount | Value | |||||||
Short-Term Investments - 3.5% |
| |||||||
Joint Repurchase Agreements - 2.0%3 |
| |||||||
Citigroup Global Markets, Inc., dated 04/30/20, due 05/01/20, 0.040% total to be received $937,605 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries,0.500% - 6.500%,05/31/20 - 02/01/57, totaling $956,356) | $937,604 | $937,604 | ||||||
Shares | ||||||||
Other Investment Companies - 1.5% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.20%4 | 681,999 | 681,999 | ||||||
Total Short-Term Investments | ||||||||
(Cost $1,619,603) | 1,619,603 | |||||||
Total Investments - 105.0% | ||||||||
(Cost $45,567,740) | 47,958,744 | |||||||
Other Assets, less Liabilities - (5.0)% | (2,285,398 | ) | ||||||
Net Assets - 100.0% | $45,673,346 | |||||||
* | Non-income producing security. |
1 | Some of these securities, amounting to $1,210,612 or 2.7% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified buyers. At April 30, 2020, the value of these securities amounted to $401,668 or 0.9% of net assets. |
3 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
4 | Yield shown represents the April 30, 2020, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
ADR American Depositary Receipt
GDR Global Depositary Receipt
The accompanying notes are an integral part of these financial statements. 16 |
Table of Contents
AMG GW&K Emerging Markets Equity Fund Schedule of Portfolio Investments(continued) |
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of April 30, 2020:
Level 1 | Level 21 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $6,779,329 | $3,845,217 | — | $10,624,546 | ||||||||||||
Financials | 3,036,686 | 7,509,573 | — | 10,546,259 | ||||||||||||
Information Technology | 663,793 | 6,857,302 | — | 7,521,095 | ||||||||||||
Communication Services | 3,141,966 | 3,808,917 | — | 6,950,883 | ||||||||||||
Consumer Staples | 988,661 | 3,596,621 | — | 4,585,282 | ||||||||||||
Health Care | 1,064,817 | 1,583,527 | — | 2,648,344 | ||||||||||||
Industrials | 464,147 | 1,194,040 | — | 1,658,187 | ||||||||||||
Energy | — | 1,592,639 | — | 1,592,639 | ||||||||||||
Materials | — | 211,906 | — | 211,906 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | 937,604 | — | 937,604 | ||||||||||||
Other Investment Companies | 681,999 | — | — | 681,999 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $16,821,398 | $31,137,346 | — | $47,958,744 | ||||||||||||
|
|
|
|
|
|
|
|
1 | An external pricing service is used to reflect any impact on security value due to market movements between the time the Fund valued such foreign securities and the earlier closing of foreign markets. |
For the six months ended April 30, 2020, there were no transfers in or out of Level 3.
The country allocation in the Schedule of Portfolio Investments at April 30, 2020, was as follows:
Country | % of Long-Term Investments | |
Brazil | 5.6 | |
Chile | 0.5 | |
China | 37.8 | |
Colombia | 0.7 | |
Hong Kong | 1.8 | |
Hungary | 1.1 | |
India | 11.3 | |
Indonesia | 2.8 | |
Macau | 1.4 | |
Mexico | 3.5 | |
Netherlands | 2.9 | |
Panama | 0.4 |
Country | % of Long-Term Investments | |
Peru | 1.2 | |
Philippines | 0.8 | |
Poland | 0.9 | |
Russia | 3.6 | |
South Africa | 3.9 | |
South Korea | 8.9 | |
Taiwan | 9.2 | |
Thailand | 0.8 | |
Turkey | 0.9 | |
| ||
100.0 | ||
|
The accompanying notes are an integral part of these financial statements. 17 |
Table of Contents
Statement of Assets and Liabilities(unaudited) April 30, 2020 |
AMG GW&K Core Bond ESG Fund | AMG GW&K Emerging Wealth Equity Fund | AMG GW&K Emerging Markets Equity Fund | ||||||||||
Assets: | ||||||||||||
Investments at value1(including securities on loan valued at $0, $7,115,207, and $1,210,612, respectively) | $211,857,044 | $139,757,187 | $47,958,744 | |||||||||
Foreign currency2 | — | 679,519 | 148,291 | |||||||||
Receivable for investments sold | — | — | 559,015 | |||||||||
Dividend and interest receivables | 1,240,787 | 108,557 | 70,395 | |||||||||
Securities lending income receivable | — | 1,604 | 297 | |||||||||
Receivable for Fund shares sold | 28,090 | 2,095,093 | 45,224 | |||||||||
Receivable from affiliate | 13,204 | — | 7,468 | |||||||||
Prepaid expenses and other assets | 30,874 | 37,884 | 31,648 | |||||||||
Total assets | 213,169,999 | 142,679,844 | 48,821,082 | |||||||||
Liabilities: | ||||||||||||
Payable upon return of securities loaned | — | 2,357,894 | 937,604 | |||||||||
Payable for investments purchased | 3,570,164 | — | — | |||||||||
Payable for Fund shares repurchased | 37,569 | 685,718 | 2,123,558 | |||||||||
Due to custodian | — | 4,210 | 1,740 | |||||||||
Accrued expenses: | ||||||||||||
Investment advisory and management fees | 51,125 | 58,216 | 20,831 | |||||||||
Administrative fees | 25,562 | 15,877 | 5,681 | |||||||||
Distribution fees | 332 | 282 | 249 | |||||||||
Shareholder service fees | 12,572 | 982 | 754 | |||||||||
Other | 50,686 | 42,694 | 57,319 | |||||||||
Total liabilities | 3,748,010 | 3,165,873 | 3,147,736 | |||||||||
Net Assets | $209,421,989 | $139,513,971 | $45,673,346 | |||||||||
1Investments at cost | $198,788,648 | $138,058,123 | $45,567,740 | |||||||||
2Foreign currency at cost | — | $679,383 | $148,122 |
The accompanying notes are an integral part of these financial statements. 18 |
Table of Contents
Statement of Assets and Liabilities(continued) |
AMG GW&K Core Bond ESG Fund | AMG GW&K Emerging Wealth Equity Fund | AMG GW&K Emerging Markets Equity Fund | ||||||||||
Net Assets Represent: | ||||||||||||
Paid-in capital | $200,905,105 | $143,102,746 | $43,990,561 | |||||||||
Total distributable earnings (loss) | 8,516,884 | (3,588,775 | ) | 1,682,785 | ||||||||
Net Assets | $209,421,989 | $139,513,971 | $45,673,346 | |||||||||
Class N: | ||||||||||||
Net Assets | $1,629,033 | $1,376,683 | $411,795 | |||||||||
Shares outstanding | 151,520 | 126,954 | 52,151 | |||||||||
Net asset value, offering and redemption price per share | $10.75 | $10.84 | $7.90 | |||||||||
Class I: | ||||||||||||
Net Assets | $204,039,323 | $12,554,142 | $20,019,114 | |||||||||
Shares outstanding | 18,972,925 | 1,150,730 | 2,551,012 | |||||||||
Net asset value, offering and redemption price per share | $10.75 | $10.91 | $7.85 | |||||||||
Class Z: | ||||||||||||
Net Assets | $3,753,633 | $125,583,146 | $25,242,437 | |||||||||
Shares outstanding | 349,229 | 11,549,074 | 3,234,695 | |||||||||
Net asset value, offering and redemption price per share | $10.75 | $10.87 | $7.80 |
The accompanying notes are an integral part of these financial statements. 19 |
Table of Contents
Statement of Operations(unaudited) For the six months ended April 30, 2020 |
AMG GW&K Core Bond ESG Fund | AMG GW&K Emerging Wealth Equity Fund | AMG GW&K Emerging Markets Equity Fund | |||||||||||||
Investment Income: | |||||||||||||||
Dividend income | $15,384 | $779,659 | $392,305 | ||||||||||||
Interest income | 2,966,590 | 295 | — | ||||||||||||
Securities lending income | — | 16,113 | 1,795 | ||||||||||||
Foreign withholding tax | — | (53,758 | ) | (47,466 | ) | ||||||||||
Total investment income | 2,981,974 | 742,309 | 346,634 | ||||||||||||
Expenses: | |||||||||||||||
Investment advisory and management fees | 318,747 | 362,564 | 138,438 | ||||||||||||
Administrative fees | 159,374 | 98,881 | 37,756 | ||||||||||||
Distribution fees - Class N | 1,805 | 2,357 | 1,846 | ||||||||||||
Shareholder servicing fees - Class N | 1,083 | 1,414 | 1,108 | ||||||||||||
Shareholder servicing fees - Class I | 77,319 | 4,638 | 1,699 | ||||||||||||
Professional fees | 28,339 | 21,872 | 21,708 | ||||||||||||
Registration fees | 26,259 | 25,979 | 24,130 | ||||||||||||
Custodian fees | 16,333 | 44,022 | 52,522 | ||||||||||||
Reports to shareholders | 15,911 | 7,878 | 8,865 | ||||||||||||
Transfer agent fees | 11,057 | 2,580 | 2,013 | ||||||||||||
Trustee fees and expenses | 9,359 | 5,248 | 2,454 | ||||||||||||
Miscellaneous | 4,288 | 2,697 | 4,173 | ||||||||||||
Total expenses before offsets | 669,874 | 580,130 | 296,712 | ||||||||||||
Expense reimbursements | (79,672 | ) | — | (39,416 | ) | ||||||||||
Net expenses | 590,202 | 580,130 | 257,296 | ||||||||||||
Net investment income | 2,391,772 | 162,179 | 89,338 | ||||||||||||
Net Realized and Unrealized Gain (Loss): | |||||||||||||||
Net realized loss on investments | (285,812 | ) | (5,001,004 | ) | (24,920 | ) | |||||||||
Net realized loss on foreign currency transactions | — | (80,115 | ) | (31,677 | ) | ||||||||||
Net change in unrealized appreciation/depreciation on investments | 4,619,606 | (8,985,017 | ) | (6,331,879 | ) | ||||||||||
Net change in unrealized appreciation/depreciation on foreign currency translations | — | 127,893 | 9,987 | ||||||||||||
Net realized and unrealized gain (loss) | 4,333,794 | (13,938,243 | ) | (6,378,489 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | $6,725,566 | $(13,776,064 | ) | $(6,289,151 | ) |
The accompanying notes are an integral part of these financial statements. 20 |
Table of Contents
Statements of Changes in Net Assets For the six months ended April 30, 2020 (unaudited) and the fiscal year ended October 31, 2019 |
AMG GW&K | AMG GW&K | |||||||||||||||||||||||
AMG GW&K Core | Emerging Wealth | Emerging Markets | ||||||||||||||||||||||
Bond ESG Fund | Equity Fund | Equity Fund | ||||||||||||||||||||||
April 30, 2020 | October 31, 2019 | April 30, 2020 | October 31, 2019 | April 30, 2020 | October 31, 2019 | |||||||||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations: | ||||||||||||||||||||||||
Net investment income | $2,391,772 | $5,533,713 | $162,179 | $1,148,596 | $89,338 | $2,954,181 | ||||||||||||||||||
Net realized gain (loss) on investments | (285,812 | ) | (417,409 | ) | (5,081,119 | ) | 2,253,942 | (56,597 | ) | 12,546,813 | ||||||||||||||
Net change in unrealized appreciation/depreciation on investments | 4,619,606 | 20,112,764 | (8,857,124 | ) | 11,877,912 | (6,321,892 | ) | 4,413,987 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 6,725,566 | 25,229,068 | (13,776,064 | ) | 15,280,450 | (6,289,151 | ) | 19,914,981 | ||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Class N | (14,346 | ) | (15,730 | ) | (55,713 | ) | (91,676 | ) | (26,891 | ) | (12,186 | ) | ||||||||||||
Class I | (2,387,379 | ) | (5,461,302 | ) | (219,919 | ) | (88,034 | ) | (1,090,353 | ) | (702,208 | ) | ||||||||||||
Class Z | (41,618 | ) | (85,424 | ) | (3,346,537 | ) | (3,150,911 | ) | (1,569,541 | ) | (5,489,154 | ) | ||||||||||||
Total distributions to shareholders | (2,443,343 | ) | (5,562,456 | ) | (3,622,169 | ) | (3,330,621 | ) | (2,686,785 | ) | (6,203,548 | ) | ||||||||||||
Capital Share Transactions:1 | ||||||||||||||||||||||||
Net increase (decrease) from capital share transactions | (12,124,793 | ) | (72,704,031 | ) | 43,508,108 | 36,532,694 | (1,698,038 | ) | (102,551,166 | ) | ||||||||||||||
Total increase (decrease) in net assets | (7,842,570 | ) | (53,037,419 | ) | 26,109,875 | 48,482,523 | (10,673,974 | ) | (88,839,733 | ) | ||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 217,264,559 | 270,301,978 | 113,404,096 | 64,921,573 | 56,347,320 | 145,187,053 | ||||||||||||||||||
End of period | $209,421,989 | $217,264,559 | $139,513,971 | $113,404,096 | $45,673,346 | $56,347,320 |
1 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements. 21 |
Table of Contents
Financial Highlights For a share outstanding throughout each fiscal period |
For the fiscal | ||||||||||||||||||||||||||||||
For the six | period ended | |||||||||||||||||||||||||||||
months ended | For the fiscal year ended October 31, | October 31, | ||||||||||||||||||||||||||||
April 30, 2020 | ||||||||||||||||||||||||||||||
Class N | (unaudited) | 2019 | 2018 | 2017 | 20161 | 20152 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.53 | $9.67 | $10.14 | $10.26 | $10.23 | $10.39 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income3,4 | 0.10 | 0.21 | 0.18 | 0.18 | 0.16 | 0.08 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.22 | 0.86 | (0.46 | ) | (0.12 | ) | 0.28 | (0.16 | ) | |||||||||||||||||||||
Total income (loss) from investment operations | 0.32 | 1.07 | (0.28 | ) | 0.06 | 0.44 | (0.08 | ) | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.10 | ) | (0.21 | ) | (0.19 | ) | (0.18 | ) | (0.17 | ) | (0.08 | ) | ||||||||||||||||||
Net realized gain on investments | — | — | — | — | (0.24 | ) | — | |||||||||||||||||||||||
Total distributions to shareholders | (0.10 | ) | (0.21 | ) | (0.19 | ) | (0.18 | ) | (0.41 | ) | (0.08 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $10.75 | $10.53 | $9.67 | $10.14 | $10.26 | $10.23 | ||||||||||||||||||||||||
Total Return4,5 | 3.10 | %6 | 11.20 | % | (2.79 | )% | 0.57 | % | 4.44 | % | (0.76 | )%6 | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.88 | %7 | 0.88 | % | 0.88 | % | 0.88 | % | 0.88 | % | 0.88 | %7 | ||||||||||||||||||
Ratio of gross expenses to average net assets8 | 0.96 | %7 | 0.95 | % | 0.93 | % | 0.93 | % | 0.97 | % | 0.99 | %7 | ||||||||||||||||||
Ratio of net investment income to average net assets4 | 1.93 | %7 | 2.10 | % | 1.88 | % | 1.75 | % | 1.51 | % | 1.67 | %7 | ||||||||||||||||||
Portfolio turnover | 26 | %6 | 48 | % | 17 | % | 18 | % | 48 | % | 175 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $1,629 | $1,255 | $502 | $146 | $293 | $124 | ||||||||||||||||||||||||
22 |
Table of Contents
AMG GW&K Core Bond ESG Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal year ended October 31, | |||||||||||||||||||||||||||||
April 30, 2020 | ||||||||||||||||||||||||||||||
Class I | (unaudited) | 2019 | 2018 | 2017 | 20161 | 2015 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.54 | $9.67 | $10.15 | $10.27 | $10.24 | $10.87 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income3,4 | 0.12 | 0.24 | 0.22 | 0.21 | 0.21 | 0.18 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.21 | 0.88 | (0.48 | ) | (0.12 | ) | 0.26 | (0.11 | ) | |||||||||||||||||||||
Total income (loss) from investment operations | 0.33 | 1.12 | (0.26 | ) | 0.09 | 0.47 | 0.07 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.12 | ) | (0.25 | ) | (0.22 | ) | (0.21 | ) | (0.20 | ) | (0.35 | ) | ||||||||||||||||||
Net realized gain on investments | — | — | — | — | (0.24 | ) | (0.35 | ) | ||||||||||||||||||||||
Total distributions to shareholders | (0.12 | ) | (0.25 | ) | (0.22 | ) | (0.21 | ) | (0.44 | ) | (0.70 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $10.75 | $10.54 | $9.67 | $10.15 | $10.27 | $10.24 | ||||||||||||||||||||||||
Total Return4,5 | 3.17 | %6 | 11.70 | % | (2.59 | )% | 0.91 | % | 4.79 | % | 0.68 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.55 | %7 | 0.55 | % | 0.56 | % | 0.55 | % | 0.55 | % | 0.56 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets8 | 0.63 | %7 | 0.62 | % | 0.61 | % | 0.60 | % | 0.65 | % | 0.67 | % | ||||||||||||||||||
Ratio of net investment income to average net assets4 | 2.26 | %7 | 2.42 | % | 2.20 | % | 2.08 | % | 2.01 | % | 1.70 | % | ||||||||||||||||||
Portfolio turnover | 26 | %6 | 48 | % | 17 | % | 18 | % | 48 | % | 175 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $204,039 | $212,801 | $264,795 | $325,855 | $414,400 | $572,110 | ||||||||||||||||||||||||
23 |
Table of Contents
AMG GW&K Core Bond ESG Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the fiscal | ||||||||||||||||||||||||||||||
For the six | period ended | |||||||||||||||||||||||||||||
months ended | For the fiscal year ended October 31, | October 31, | ||||||||||||||||||||||||||||
April 30, 2020 | ||||||||||||||||||||||||||||||
Class Z | (unaudited) | 2019 | 2018 | 2017 | 20161 | 20152 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.53 | $9.67 | $10.14 | $10.26 | $10.23 | $10.39 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income3,4 | 0.12 | 0.25 | 0.23 | 0.22 | 0.19 | 0.10 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.23 | 0.87 | (0.47 | ) | (0.12 | ) | 0.29 | (0.16 | ) | |||||||||||||||||||||
Total income (loss) from investment operations | 0.35 | 1.12 | (0.24 | ) | 0.10 | 0.48 | (0.06 | ) | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.26 | ) | (0.23 | ) | (0.22 | ) | (0.21 | ) | (0.10 | ) | ||||||||||||||||||
Net realized gain on investments | — | — | — | — | (0.24 | ) | — | |||||||||||||||||||||||
Total distributions to shareholders | (0.13 | ) | (0.26 | ) | (0.23 | ) | (0.22 | ) | (0.45 | ) | (0.10 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $10.75 | $10.53 | $9.67 | $10.14 | $10.26 | $10.23 | ||||||||||||||||||||||||
Total Return4,5 | 3.30 | %6 | 11.71 | % | (2.42 | )% | 0.98 | % | 4.85 | % | (0.58 | )%6 | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.48 | %7 | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | %7 | ||||||||||||||||||
Ratio of gross expenses to average net assets8 | 0.56 | %7 | 0.55 | % | 0.53 | % | 0.53 | % | 0.58 | % | 0.59 | %7 | ||||||||||||||||||
Ratio of net investment income to average net assets4 | 2.33 | %7 | 2.50 | % | 2.28 | % | 2.15 | % | 1.88 | % | 2.05 | %7 | ||||||||||||||||||
Portfolio turnover | 26 | %6 | 48 | % | 17 | % | 18 | % | 48 | % | 175 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $3,754 | $3,208 | $5,005 | $5,590 | $5,668 | $4,891 | ||||||||||||||||||||||||
1 | Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed Class N, Class I and Class Z, respectively. |
2 | Commencement of operations was on May 8, 2015. |
3 | Per share numbers have been calculated using average shares. |
4 | Total returns and net investment income would have been lower had certain expenses not been offset. |
5 | The total return is calculated using the published Net Asset Value as of period end. |
6 | Not annualized. |
7 | Annualized. |
8 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments andnon-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
24 |
Table of Contents
AMG GW&K Emerging Wealth Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six months ended | For the fiscal year ended October 31, | For the fiscal October 31, | ||||||||||||||||||||||||||||||||
Class N | April 30, 2020 (unaudited) | 2019 | 2018 | 2017 | 20161 | 20152 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $11.93 | $10.38 | $12.94 | $10.13 | $9.34 | $10.00 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss)3,4 | (0.01 | ) | 0.10 | 0.06 | 0.05 | 0.05 | 0.04 | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.75 | ) | 1.95 | (1.88 | ) | 2.80 | 0.74 | (0.70 | ) | |||||||||||||||||||||||||
Total income (loss) from investment operations | (0.76 | ) | 2.05 | (1.82 | ) | 2.85 | 0.79 | (0.66 | ) | |||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | (0.06 | ) | (0.06 | ) | (0.05 | ) | (0.04 | ) | — | — | ||||||||||||||||||||||||
Net realized gain on investments | (0.27 | ) | (0.44 | ) | (0.69 | ) | — | — | — | |||||||||||||||||||||||||
Total distributions to shareholders | (0.33 | ) | (0.50 | ) | (0.74 | ) | (0.04 | ) | — | — | ||||||||||||||||||||||||
Net Asset Value, End of Period | $10.84 | $11.93 | $10.38 | $12.94 | $10.13 | $9.34 | ||||||||||||||||||||||||||||
Total Return4,5 | (6.65 | )%6 | 20.82 | % | (15.16 | )% | 28.31 | % | 8.46 | % | (6.60 | )%6 | ||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.27 | %7 | 1.37 | %8 | 1.45 | %8,9 | 1.45 | %8,9 | 1.44 | % | 1.33 | %7 | ||||||||||||||||||||||
Ratio of gross expenses to average net assets10 | 1.27 | %7 | 1.37 | %8 | 1.45 | %8 | 1.45 | %8 | 1.53 | % | 1.65 | %7 | ||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets4 | (0.14 | )%7 | 0.93 | % | 0.49 | % | 0.45 | % | 0.51 | % | 0.65 | %7 | ||||||||||||||||||||||
Portfolio turnover | 23 | %6 | 40 | % | 37 | % | 68 | % | 58 | % | 45 | %6 | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $1,377 | $2,007 | $1,940 | $10 | $10 | $9 | ||||||||||||||||||||||||||||
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Table of Contents
AMG GW&K Emerging Wealth Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six months ended | For the fiscal year ended October 31, | For the fiscal period ended October 31, | ||||||||||||||||||||||||||||||||
Class I | April 30, 2020 (unaudited) | 2019 | 2018 | 2017 | 20161 | 20152 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $12.03 | $10.44 | $12.96 | $10.14 | $9.34 | $10.00 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income3,4 | 0.01 | 0.14 | 0.09 | 0.08 | 0.07 | 0.04 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.76 | ) | 1.96 | (1.88 | ) | 2.81 | 0.75 | (0.70 | ) | |||||||||||||||||||||||||
Total income (loss) from investment operations | (0.75 | ) | 2.10 | (1.79 | ) | 2.89 | 0.82 | (0.66 | ) | |||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | (0.10 | ) | (0.07 | ) | (0.04 | ) | (0.07 | ) | (0.02 | ) | — | |||||||||||||||||||||||
Net realized gain on investments | (0.27 | ) | (0.44 | ) | (0.69 | ) | — | — | — | |||||||||||||||||||||||||
Total distributions to shareholders | (0.37 | ) | (0.51 | ) | (0.73 | ) | (0.07 | ) | (0.02 | ) | — | |||||||||||||||||||||||
Net Asset Value, End of Period | $10.91 | $12.03 | $10.44 | $12.96 | $10.14 | $9.34 | ||||||||||||||||||||||||||||
Total Return4,5 | (6.53 | )%6 | 21.15 | % | (14.89 | )% | 28.73 | % | 8.77 | % | (6.60 | )%6 | ||||||||||||||||||||||
Ratio of net expenses to average net assets | 0.97 | %7 | 1.08 | %8 | 1.19 | %8,9 | 1.12 | %8,9 | 1.16 | % | 1.16 | %7 | ||||||||||||||||||||||
Ratio of gross expenses to average net assets10 | 0.97 | %7 | 1.08 | %8 | 1.19 | %8 | 1.16 | %8 | 1.24 | % | 1.45 | %7 | ||||||||||||||||||||||
Ratio of net investment income to average net assets4 | 0.16 | %7 | 1.22 | % | 0.75 | % | 0.78 | % | 0.79 | % | 0.61 | %7 | ||||||||||||||||||||||
Portfolio turnover | 23 | %6 | 40 | % | 37 | % | 68 | % | 58 | % | 45 | %6 | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $12,554 | $6,328 | $2,539 | $1,646 | $16,639 | $22,432 | ||||||||||||||||||||||||||||
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AMG GW&K Emerging Wealth Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six months ended | For the fiscal year ended October 31, | For the fiscal period ended October 31, | ||||||||||||||||||||||||||||||||
Class Z | April 30, 2020 (unaudited) | 2019 | 2018 | 2017 | 20161 | 20152 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $11.99 | $10.41 | $12.97 | $10.15 | $9.35 | $10.00 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income3,4 | 0.01 | 0.15 | 0.11 | 0.10 | 0.09 | 0.04 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.75 | ) | 1.96 | (1.89 | ) | 2.80 | 0.74 | (0.69 | ) | |||||||||||||||||||||||||
Total income (loss) from investment operations | (0.74 | ) | 2.11 | (1.78 | ) | 2.90 | 0.83 | (0.65 | ) | |||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | (0.11 | ) | (0.09 | ) | (0.09 | ) | (0.08 | ) | (0.03 | ) | — | |||||||||||||||||||||||
Net realized gain on investments | (0.27 | ) | (0.44 | ) | (0.69 | ) | — | — | — | |||||||||||||||||||||||||
Total distributions to shareholders | (0.38 | ) | (0.53 | ) | (0.78 | ) | (0.08 | ) | (0.03 | ) | — | |||||||||||||||||||||||
Net Asset Value, End of Period | $10.87 | $11.99 | $10.41 | $12.97 | $10.15 | $9.35 | ||||||||||||||||||||||||||||
Total Return4,5 | (6.49 | )%6 | 21.34 | % | (14.87 | )% | 28.86 | % | 8.86 | % | (6.50 | )%6 | ||||||||||||||||||||||
Ratio of net expenses to average net assets | 0.87 | %7 | 0.97 | %8 | 1.05 | %8,9 | 1.05 | %8,9 | 1.05 | % | 1.05 | %7 | ||||||||||||||||||||||
Ratio of gross expenses to average net assets10 | 0.87 | %7 | 0.97 | %8 | 1.05 | %8 | 1.05 | %8 | 1.15 | % | 1.50 | %7 | ||||||||||||||||||||||
Ratio of net investment income to average net assets4 | 0.26 | %7 | 1.33 | % | 0.89 | % | 0.85 | % | 0.94 | % | 0.64 | %7 | ||||||||||||||||||||||
Portfolio turnover | 23 | %6 | 40 | % | 37 | % | 68 | % | 58 | % | 45 | %6 | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $125,583 | $105,069 | $60,443 | $59,500 | $30,777 | $7,782 | ||||||||||||||||||||||||||||
1 | Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed Class N, Class I and Class Z, respectively. |
2 | Commencement of operations was on March 20, 2015. |
3 | Per share numbers have been calculated using average shares. |
4 | Total returns and net investment income (loss) would have been lower had certain expenses not been offset. |
5 | The total return is calculated using the published Net Asset Value as of period end. |
6 | Not annualized. |
7 | Annualized. |
8 | Such ratio includes recapture of waived/reimbursed fees from prior periods. |
9 | Includes reduction from broker recapture amounting to less than 0.01%. |
10 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments andnon-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
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AMG GW&K Emerging Markets Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six months ended | For the fiscal year ended October 31, | |||||||||||||||||||||||||||||||||
Class N | April 30, 2020 (unaudited) | 2019 | 2018 | 2017 | 20161 | 2015 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $9.52 | $8.61 | $10.11 | $7.91 | $7.23 | $8.83 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss)2,3 | (0.00 | )4 | 0.14 | 0.11 | 0.09 | 0.06 | 0.06 | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.12 | ) | 1.04 | (1.54 | ) | 2.18 | 0.66 | (1.66 | ) | |||||||||||||||||||||||||
Total income (loss) from investment operations | (1.12 | ) | 1.18 | (1.43 | ) | 2.27 | 0.72 | (1.60 | ) | |||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | (0.06 | ) | (0.17 | ) | (0.07 | ) | (0.07 | ) | (0.04 | ) | — | |||||||||||||||||||||||
Net realized gain on investments | (0.44 | ) | (0.10 | ) | — | — | — | — | ||||||||||||||||||||||||||
Total distributions to shareholders | (0.50 | ) | (0.27 | ) | (0.07 | ) | (0.07 | ) | (0.04 | ) | — | |||||||||||||||||||||||
Net Asset Value, End of Period | $7.90 | $9.52 | $8.61 | $10.11 | $7.91 | $7.23 | ||||||||||||||||||||||||||||
Total Return3 | (12.68 | )%5,6 | 13.94 | %6 | (14.24 | )%6 | 28.97 | %6 | 10.01 | % | (18.12 | )% | ||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.39 | %7 | 1.30 | % | 1.27 | % | 1.31 | % | 1.44 | % | 1.45 | % | ||||||||||||||||||||||
Ratio of gross expenses to average net assets8 | 1.55 | %7 | 1.30 | % | 1.27 | % | 1.31 | % | 1.44 | % | 1.45 | % | ||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets3 | (0.03 | )%7 | 1.52 | % | 1.12 | % | 1.08 | % | 0.81 | % | 0.76 | % | ||||||||||||||||||||||
Portfolio turnover | 26 | %5 | 123 | % | 24 | % | 29 | % | 33 | % | 45 | % | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $412 | $520 | $289 | $350 | $497 | $57 | ||||||||||||||||||||||||||||
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AMG GW&K Emerging Markets Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six months ended | For the fiscal year ended October 31, | |||||||||||||||||||||||||||||||||
Class I | April 30, 2020 (unaudited) | 2019 | 2018 | 2017 | 20161 | 2015 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $9.48 | $8.60 | $10.11 | $7.90 | $7.19 | $8.88 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income2,3 | 0.02 | 0.17 | 0.13 | 0.12 | 0.08 | 0.05 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.13 | ) | 1.04 | (1.53 | ) | 2.18 | 0.67 | (1.62 | ) | |||||||||||||||||||||||||
Total income (loss) from investment operations | (1.11 | ) | 1.21 | (1.40 | ) | 2.30 | 0.75 | (1.57 | ) | |||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.23 | ) | (0.11 | ) | (0.09 | ) | (0.04 | ) | (0.12 | ) | ||||||||||||||||||||||
Net realized gain on investments | (0.44 | ) | (0.10 | ) | — | — | — | — | ||||||||||||||||||||||||||
Total distributions to shareholders | (0.52 | ) | (0.33 | ) | (0.11 | ) | (0.09 | ) | (0.04 | ) | (0.12 | ) | ||||||||||||||||||||||
Net Asset Value, End of Period | $7.85 | $9.48 | $8.60 | $10.11 | $7.90 | $7.19 | ||||||||||||||||||||||||||||
Total Return3 | (12.58 | )%5,6 | 14.34 | %6 | (13.94 | )%6 | 29.34 | %6 | 10.48 | %6 | (17.82 | )%6 | ||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.01 | %7 | 0.97 | % | 0.99 | % | 1.03 | % | 1.07 | % | 1.00 | % | ||||||||||||||||||||||
Ratio of gross expenses to average net assets8 | 1.17 | %7 | 0.97 | % | 0.99 | % | 1.03 | % | 1.07 | % | 1.00 | % | ||||||||||||||||||||||
Ratio of net investment income to average net assets3 | 0.35 | %7 | 1.85 | % | 1.40 | % | 1.36 | % | 1.14 | % | 0.65 | % | ||||||||||||||||||||||
Portfolio turnover | 26 | %5 | 123 | % | 24 | % | 29 | % | 33 | % | 45 | % | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $20,019 | $24,100 | $11,210 | $2,207 | $1,271 | $1,203 | ||||||||||||||||||||||||||||
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AMG GW&K Emerging Markets Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||||||
months ended | For the fiscal year ended October 31, | |||||||||||||||||||||||||||||||||
April 30, 2020 | ||||||||||||||||||||||||||||||||||
Class Z | (unaudited) | 2019 | 2018 | 2017 | 20161 | 2015 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $9.43 | $8.56 | $10.06 | $7.86 | $7.20 | $8.89 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income2,3 | 0.02 | 0.18 | 0.15 | 0.13 | 0.09 | 0.09 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.12 | ) | 1.02 | (1.53 | ) | 2.16 | 0.65 | (1.65 | ) | |||||||||||||||||||||||||
Total income (loss) from investment operations | (1.10 | ) | 1.20 | (1.38 | ) | 2.29 | 0.74 | (1.56 | ) | |||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.23 | ) | (0.12 | ) | (0.09 | ) | (0.08 | ) | (0.13 | ) | ||||||||||||||||||||||
Net realized gain on investments | (0.44 | ) | (0.10 | ) | — | — | — | — | ||||||||||||||||||||||||||
Total distributions to shareholders | (0.53 | ) | (0.33 | ) | (0.12 | ) | (0.09 | ) | (0.08 | ) | (0.13 | ) | ||||||||||||||||||||||
Net Asset Value, End of Period | $7.80 | $9.43 | $8.56 | $10.06 | $7.86 | $7.20 | ||||||||||||||||||||||||||||
Total Return3 | (12.60 | )%5,6 | 14.39 | %6 | (13.88 | )%6 | 29.62 | %6 | 10.52 | % | (17.69 | )% | ||||||||||||||||||||||
Ratio of net expenses to average net assets | 0.99 | %7 | 0.90 | % | 0.87 | % | 0.88 | % | 0.94 | % | 0.95 | % | ||||||||||||||||||||||
Ratio of gross expenses to average net assets8 | 1.15 | %7 | 0.90 | % | 0.87 | % | 0.88 | % | 0.94 | % | 0.95 | % | ||||||||||||||||||||||
Ratio of net investment income to average net assets3 | 0.37 | %7 | 1.92 | % | 1.52 | % | 1.51 | % | 1.25 | % | 1.18 | % | ||||||||||||||||||||||
Portfolio turnover | 26 | %5 | 123 | % | 24 | % | 29 | % | 33 | % | 45 | % | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $25,242 | $31,727 | $133,688 | $130,828 | $102,086 | $95,434 | ||||||||||||||||||||||||||||
1 | Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed Class N, Class I and Class Z, respectively. |
2 | Per share numbers have been calculated using average shares. |
3 | Total returns and net investment income would have been lower had certain expenses not been offset. |
4 | Less than $(0.005) per share. |
5 | Not annualized. |
6 | The total return is calculated using the published Net Asset Value as of period end. |
7 | Annualized. |
8 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments andnon-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
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Notes to Financial Statements(unaudited) April 30, 2020 |
1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
AMG Funds and AMG Funds I (the “Trusts”) areopen-end management investment companies, organized as Massachusetts business trusts, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Currently, the Trusts consist of a number of different funds, each having distinct investment management objectives, strategies, risks, and policies. Included in this report are AMG Funds I: AMG GW&K Core Bond ESG Fund (“Core Bond ESG”) and AMG Funds: AMG GW&K Emerging Wealth Equity Fund (“Emerging Wealth Equity”) (formerly AMG GW&K Trilogy Emerging Wealth Equity Fund) and AMG GW&K Emerging Markets Equity Fund (“Emerging Markets Equity”) (formerly AMG GW&K Trilogy Emerging Markets Equity Fund), each a “Fund” and collectively, the “Funds”.
Each Fund offers different classes of shares. Each Fund offers Class N, Class I and Class Z shares. Each class represents an interest in the same assets of the respective Fund. Although all share classes generally have identical voting rights, each share class votes separately when required by law. Different share classes may have different net asset values per share to the extent the share classes pay different distribution amounts and/or the expenses of such share classes differ. Each share class has its own expense structure. Please refer to a current prospectus for additional information on each share class.
Effective May 1, 2019, Core Bond ESG changed its principle investment strategy to give special consideration to environmental, social and governance (“ESG”) criteria.
The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), including accounting and reporting guidance pursuant to Accounting Standards Codification Topic 946 applicable to investment companies. U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements:
a. VALUATION OF INVESTMENTS
Equity securities traded on a national securities exchange or reported on the NASDAQ national market system (“NMS”) are valued at the last quoted sales price on the primary exchange or, if applicable, the NASDAQ official closing price or the official closing price of the relevant exchange or, lacking any sales, at the last quoted bid price or the mean between the last quoted bid and ask prices (the “mean price”). Equity securities traded in theover-the-counter market (other than NMS securities) are valued at the mean price. Foreign equity securities (securities principally traded in markets other than U.S. markets) are valued at the official closing price on the primary exchange or, for markets that either do not offer an official closing price or where the official closing price may not be representative of the overall market, the last quoted sale price.
Fixed income securities purchased with a remaining maturity exceeding 60 days are valued at the evaluated mean price provided by an authorized pricing service or, if an evaluated price is not available, by reference to other securities which are considered comparable in credit rating, interest rate, due date and other features (generally referred to as “matrix pricing”) or other similar pricing methodologies.
Fixed income securities purchased with a remaining maturity of 60 days or less are valued at amortized cost, provided that the amortized cost value is approximately the same as the fair value of the security valued without the use of amortized cost. Investments in otheropen-end registered investment companies are valued at their end of day net asset value per share.
The Funds’ portfolio investments are generally valued based on independent market quotations or prices or, if none, “evaluative” or other market based valuations provided by third party pricing services approved by the Board of Trustees of the Trusts (the “Board”). Under certain circumstances, the value of certain Fund portfolio investments may be based on an evaluation of fair value, pursuant to procedures established by and under the general supervision of the Board. The Valuation Committee, which is comprised of the Independent Trustees of the Board, and the Pricing Committee, which is comprised of representatives from AMG Funds LLC (the “Investment Manager”) are the committees appointed by the Board to make fair value determinations. Each Fund may use the fair value of a portfolio investment to calculate its net asset value (“NAV”) in the event that the market quotation, price or market based valuation for the portfolio investment is not readily available or otherwise not determinable pursuant to the Board’s valuation procedures, if the Investment Manager or the Pricing Committee believes the quotation, price or market based valuation to be unreliable, or in certain other circumstances. When determining the fair value of an investment, the Pricing Committee and, if required under the Trusts’ securities valuation procedures, the Valuation Committee, seeks to determine the price that the Fund might reasonably expect to receive from current sale of that portfolio investment in an arms-length transaction. Fair value determinations shall be based upon consideration of all available facts and information, including, but not limited to (i) attributes specific to the investment; (ii) fundamental and analytical data relating to the investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.
The values assigned to fair value portfolio investments are based on available information and do not necessarily represent amounts that might ultimately be realized in the future, since such amounts depend on future developments inherent in long-term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. The Board will be presented with a quarterly report showing as of the most recent quarter end, all outstanding securities fair valued by the Funds, including a comparison with the prior quarter end and the percentage of the Funds that the security represents at each quarter end.
With respect to foreign equity securities and certain foreign fixed income securities, the Board has adopted a policy that securities held in the Funds that can be fair valued by the applicable fair value pricing service are fair valued on each business day provided that each individual price exceeds apre-established confidence level.
U.S. GAAP defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP also establishes a framework for measuring fair value, and a three level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Funds. Unobservable inputs reflect the Funds’ own assumptions about the assumptions
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Table of Contents
Notes to Financial Statements(continued) |
that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized below:
Level 1 – inputs are quoted prices in active markets for identical investments (e.g., equity securities,open-end investment companies)
Level 2 – other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs) (e.g., debt securities, government securities, foreign currency exchange contracts, swaps, foreign securities utilizing international fair value pricing, fair valued securities with observable inputs)
Level 3 – inputs are significant unobservable inputs (including the Fund’s own assumptions used to determine the fair value of investments) (e.g., fair valued securities with unobservable inputs)
Changes in inputs or methodologies used for valuing investments may result in a transfer in or out of levels within the fair value hierarchy. The inputs or methodologies used for valuing investments may not necessarily be an indication of the risk associated with investing in those investments.
b. SECURITY TRANSACTIONS
Security transactions are accounted for as of trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
c. INVESTMENT INCOME AND EXPENSES
Dividend income is recorded on theex-dividend date. Dividends from foreign securities are recorded on theex-dividend date, and if after the fact, as soon as the Funds become aware of theex-dividend date, except for Korean securities where dividends are recorded on confirmation date. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Dividend and interest income on foreign securities is recorded gross of any withholding tax.Non-cash dividends included in dividend income, if any, are reported at the fair market value of the securities received. Upon notification from issuers, distributions received from a real estate investment trust (“REIT”) may be redesignated as a reduction of cost of investments and/or realized gain. Other income and expenses are recorded on an accrual basis. Expenses that cannot be directly attributed to a Fund are apportioned among the funds in the Trusts and other trusts or funds within the AMG Funds Family of Funds (collectively the “AMG Funds Family”) based upon their relative average net assets or number of shareholders. Investment income, realized and unrealized capital gains and losses, the common expenses of each Fund, and certain fund level expense reductions, if any, are allocated on apro-rata basis to each class based on the relative net assets of each class to the total net assets of each Fund.
d. DIVIDENDS AND DISTRIBUTIONS
Fund distributions resulting from either net investment income or realized net capital gains, if any, will normally be declared and paid at least annually in December. Distributions to shareholders are recorded on theex-dividend date.
Distributions are determined in accordance with federal income tax regulations, which may differ from net investment income and net realized capital gains for financial statement purposes (U.S. GAAP). Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications topaid-in capital. Temporary differences arise when certain items of income, expense and gain or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Permanent differences are primarily due to gains/losses on foreign currency. Temporary differences are primarily due to wash sale loss deferrals and capital loss carryforwards.
At April 30, 2020, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The approximate cost of investments and the aggregate gross unrealized appreciation and depreciation for federal income tax purposes were as follows:
Fund | Cost | Appreciation | Depreciation | Net | ||||||||||||
Core Bond ESG | $198,788,648 | $13,524,547 | $(456,151 | ) | $13,068,396 | |||||||||||
Emerging Wealth Equity | 138,058,123 | 13,594,299 | (11,895,235 | ) | 1,699,064 | |||||||||||
Emerging Markets Equity | 45,567,740 | 7,613,382 | (5,222,378 | ) | 2,391,004 |
e. FEDERAL TAXES
Each Fund currently qualifies as an investment company and intends to comply with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of its taxable income and gains to its shareholders and to meet certain diversification and income requirements with respect to investment companies. Therefore, no provision for federal income or excise tax is included in the accompanying financial statements.
Additionally, based on each Fund’s understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which it invests, each Fund will provide for foreign taxes, and where appropriate, deferred foreign taxes.
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (generally, the three prior taxable years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. Additionally, Management is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
f. CAPITAL LOSS CARRYOVERS AND DEFERRALS
As of October 31, 2019, the following Fund had capital loss carryovers for federal income tax purposes as shown in the following chart. These amounts may be used to offset future realized capital gains indefinitely, and retain their character as short-term and/or long-term.
Capital Loss | ||||||||||||
Carryover Amounts | ||||||||||||
Fund | Short-Term | Long-Term | Total | |||||||||
Core Bond ESG | $1,927,306 | $2,340,507 | $4,267,813 |
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As of October 31, 2019, Emerging Wealth Equity and Emerging Markets Equity had no capital loss carryovers for federal income tax purposes. Should the Funds incur net capital losses for the fiscal year ended October 31, 2020, such amounts may be
used to offset future realized capital gains indefinitely, and retain their character as either short-term and/or long-term.
g. CAPITAL STOCK
The Trusts’ Declaration of Trust authorizes for each Fund the issuance of an unlimited number of shares of beneficial interest, without par value. Each Fund records sales and repurchases of its capital stock on the trade date. Prior to March 1, 2019, Emerging Wealth Equity and Emerging Markets Equity deducted a 2.00% redemption fee from the proceeds of any redemption of shares (including a redemption by exchange) if the redemption occurred within 60 days of the purchase of those shares. For the fiscal year ended October 31, 2019, Emerging Wealth Equity and Emerging Markets Equity had redemption fees amounting to $25 and $194, respectively. These amounts are netted against the cost of shares repurchased.
For the six months ended April 30, 2020 (unaudited) and the fiscal year ended October 31, 2019, the capital stock transactions by class for the Funds were as follows:
Core Bond ESG | Emerging Wealth Equity | |||||||||||||||||||||||||||||||
April 30, 2020 | October 31, 2019 | April 30, 2020 | October 31, 2019 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Class N: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 40,243 | $429,306 | 87,070 | $910,282 | 10,550 | $105,809 | 69,471 | $769,916 | ||||||||||||||||||||||||
Reinvestment of distributions | 1,345 | 14,245 | 1,518 | 15,524 | 4,548 | 55,712 | 9,251 | 90,748 | ||||||||||||||||||||||||
Cost of shares repurchased | (9,226) | (96,646) | (21,364) | (222,853) | (56,302) | (587,278) | (97,339) | (1,084,456) | ||||||||||||||||||||||||
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| |||||||||||||||||
Net increase (decrease) | 32,362 | $346,905 | 67,224 | $702,953 | (41,204) | $(425,757) | (18,617) | $(223,792) | ||||||||||||||||||||||||
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Class I: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 520,286 | $5,507,504 | 875,494 | $8,860,974 | 1,142,938 | $13,492,700 | 471,195 | $5,535,916 | ||||||||||||||||||||||||
Reinvestment of distributions | 214,389 | 2,270,588 | 515,172 | 5,217,134 | 17,592 | 216,556 | 8,893 | 87,775 | ||||||||||||||||||||||||
Cost of shares repurchased | (1,956,971) | (20,713,437) | (8,572,748) | (85,400,513) | (535,884) | (5,665,779) | (197,196) | (2,166,432) | ||||||||||||||||||||||||
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| |||||||||||||||||
Net increase (decrease) | (1,222,296) | $(12,935,345) | (7,182,082) | $(71,322,405) | 624,646 | $8,043,477 | 282,892 | $3,457,259 | ||||||||||||||||||||||||
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Class Z: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 71,860 | $757,705 | 27,467 | $272,702 | 4,733,518 | $56,589,232 | 3,990,467 | $44,631,920 | ||||||||||||||||||||||||
Reinvestment of distributions | 3,930 | 41,618 | 7,734 | 78,419 | 27,678 | 339,331 | 32,301 | 317,526 | ||||||||||||||||||||||||
Cost of shares repurchased | (31,179) | (335,676) | (248,245) | (2,435,700) | (1,975,198) | (21,038,175) | (1,063,505) | (11,650,219) | ||||||||||||||||||||||||
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| |||||||||||||||||
Net increase (decrease) | 44,611 | $463,647 | (213,044) | $(2,084,579) | 2,785,998 | $35,890,388 | 2,959,263 | $33,299,227 | ||||||||||||||||||||||||
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| |||||||||||||||||
Emerging Markets Equity | ||||||||||||||||||||||||||||||||
April 30, 2020 | October 31, 2019 | |||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Class N: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 179,828 | $1,732,879 | 26,442 | $249,645 | ||||||||||||||||||||||||||||
Reinvestment of distributions | 2,834 | 26,891 | 1,362 | 12,186 | ||||||||||||||||||||||||||||
Cost of shares repurchased | (185,133) | (1,457,999) | (6,762) | (64,732) | ||||||||||||||||||||||||||||
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|
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|
| |||||||||||||||||||||||||
Net increase (decrease) | (2,471) | $301,771 | 21,042 | $197,099 | ||||||||||||||||||||||||||||
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Class I: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 1,143,842 | $8,970,046 | 1,450,638 | $13,047,613 | ||||||||||||||||||||||||||||
Reinvestment of distributions | 52,112 | 491,414 | 32,500 | 286,519 | ||||||||||||||||||||||||||||
Cost of shares repurchased | (1,187,365) | (10,216,981) | (243,911) | (2,243,793) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net increase (decrease) | 8,589 | $(755,521) | 1,239,227 | $11,090,339 | ||||||||||||||||||||||||||||
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Notes to Financial Statements(continued) |
Emerging Markets Equity | ||||||||||||||||||||||||||||||||
April 30, 2020 | October 31, 2019 | |||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Class Z: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 193,985 | $1,791,748 | 1,633,015 | $15,883,163 | ||||||||||||||||||||||||||||
Reinvestment of distributions | 128,421 | 1,203,308 | 577,222 | 5,074,236 | ||||||||||||||||||||||||||||
Cost of shares repurchased | (451,613) | (4,239,344) | (14,461,736) | (134,796,003) | ||||||||||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||||||
Net decrease | (129,207) | $(1,244,288) | (12,251,499) | $(113,838,604) | ||||||||||||||||||||||||||||
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h. REPURCHASE AGREEMENTS AND JOINT REPURCHASE AGREEMENTS
The Funds may enter into third-party repurchase agreements for temporary cash management purposes and third-party or bilateral joint repurchase agreements for reinvestment of cash collateral on securities lending transactions under the securities lending program offered by The Bank of New York Mellon (“BNYM”) (the “Program”) (collectively, “Repurchase Agreements”). The value of the underlying collateral, including accrued interest, must equal or exceed the value of the Repurchase Agreements during the term of the agreement. For joint repurchase agreements, the Funds participate on a pro rata basis with other clients of BNYM in its share of the underlying collateral under such joint repurchase agreements and in its share of proceeds from any repurchase or other disposition of the underlying collateral. The underlying collateral for all Repurchase Agreements is held in safekeeping by the Funds’ custodian or at the Federal Reserve Bank. If the seller defaults and the value of the collateral declines, or if bankruptcy proceedings commence with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited. Pursuant to the Program, the Funds are indemnified for such losses by BNYM on joint repurchase agreements.
At April 30, 2020, the market value of Repurchase Agreements outstanding for Emerging Wealth Equity and Emerging Markets Equity were $2,357,894 and $937,604, respectively.
i. FOREIGN CURRENCY TRANSLATION
The books and records of the Funds are maintained in U.S. dollars. The value of investments, assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon current foreign exchange rates. Purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based on currency exchange rates prevailing on the respective dates of such transactions. Net realized and unrealized gain (loss) on foreign currency transactions represent: (1) foreign exchange gains and losses from the sale and holdings of foreign currencies; (2) gains and losses between trade date and settlement date on investment securities transactions and foreign currency exchange contracts; and (3) gains and losses from the difference between amounts of interest and dividends recorded and the amounts actually received.
The Funds do not isolate the net realized and unrealized gain or loss resulting from changes in exchange rates from the fluctuations in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
2. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES
For each of the Funds, the Trusts have entered into an investment advisory agreement under which the Investment Manager, a subsidiary and the U.S. retail distribution arm of Affiliated Managers Group, Inc. (“AMG”), serves as investment manager to the Funds and is responsible for the Funds’ overall administration and operations. The Investment Manager selects one or more subadvisers for the Funds (subject to Board approval) and monitors each subadviser’s investment performance, security holdings and investment strategies. Each Fund’s investment portfolio is managed by GW&K Investment Management, LLC, (“GW&K”), who serves pursuant to a subadvisory agreement with the Investment Manager. AMG indirectly owns a majority interest in GW&K.
Investment management fees are paid directly by the Funds to the Investment Manager based on average daily net assets. For the six months ended April 30, 2020, the Funds’ investment management fees were paid at the following annual rate of each Fund’s respective average daily net assets:
Core Bond ESG | 0.30% | |||
Emerging Wealth Equity | 0.55% | |||
Emerging Markets Equity | 0.55% |
The Investment Manager has contractually agreed, through at least March 1, 2021, to waive management fees and/or pay or reimburse fund expenses in order to limit total annual Fund operating expenses after fee waiver and expense reimbursements (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts and in connection with securities sold short), shareholder servicing fees, distribution and service(12b-1) fees, brokerage commissions and other transaction costs, dividends payable with respect to securities sold short, acquired fund fees and expenses and extraordinary expenses) of Core Bond ESG, Emerging Wealth Equity and Emerging Markets Equity to 0.48%, 1.05% and 0.87%, respectively, of each Fund’s average daily net assets (this annual rate or such other annual rate that may be in effect from time to time, the “Expense Cap”), subject to later reimbursement by the Funds in certain circumstances. Prior to March 1, 2020, the total annual Fund operating expense limitation was 1.05% of Emerging Markets Equity’s average daily net assets (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts and in connection with securities sold short), shareholder servicing fees, distribution and service(12b-1) fees, brokerage commissions and other transaction costs, dividends payable with respect to securities sold short, acquired fund fees and expenses and extraordinary expenses).
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Notes to Financial Statements(continued) |
In general, for a period of up to 36 months after the date any amounts are paid, waived or reimbursed by the Investment Manager, the Investment Manager may recover such amounts from a Fund, provided that such repayment would not cause the Fund’s total annual operating expenses after fee waiver and expense reimbursements (exclusive of the items noted in the parenthetical above) to exceed either (i) the Expense Cap in effect at the time such amounts were paid, waived or reimbursed, or (ii) the Expense Cap in effect at the time of such repayment by the Fund.
The contractual expense limitation may only be terminated in the event the Investment Manager or a successor ceases to be the investment manager of the Fund or a successor fund, by mutual agreement between the Investment Manager and the Board, or in the event of the Fund’s liquidation unless the Fund is reorganized or is a party to a merger in which the surviving entity is successor to the accounting and performance information of the Fund.
At April 30, 2020, the Funds’ expiration of reimbursements subject to recoupment is as follows:
Expiration Period | Core Bond ESG | Emerging Markets Equity | ||||||
Less than 1 year | $165,782 | — | ||||||
1-2 years | 151,139 | — | ||||||
2-3 years | 150,694 | $39,416 | ||||||
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|
|
| |||||
Total | $467,615 | $39,416 | ||||||
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|
|
|
The Investment Manager has contractually agreed, through at least March 1, 2021, to waive management fees and/or pay or reimburse Emerging Markets Equity’s expenses in an amount that is equal to the fees and expenses incurred indirectly by the Fund as a result of investment in shares of one or more acquired funds. The contractual expense limitation may only be terminated in the event the Investment Manager or a successor ceases to be the investment manager of the Fund or a successor fund, by mutual agreement among the Investment Manager, GW&K and the AMG Funds Board of Trustees or in the event of the Fund’s liquidation unless the Fund is reorganized or is a party to a merger in which the surviving entity is successor to the accounting and performance information of the Fund. For the six months ended April 30, 2020, there were no fees waived.
The Trusts, on behalf of the Funds, have entered into an amended and restated Administration Agreement under which the Investment Manager serves as the Funds’ administrator (the “Administrator”) and is responsible for allnon-portfolio management aspects of managing the Funds’ operations, including administration and shareholder services to each Fund. Each Fund pays a fee to the Administrator at the rate of 0.15% per annum of the Fund’s average daily net assets for this service.
The Funds are distributed by AMG Distributors, Inc. (the “Distributor”), a wholly-owned subsidiary of the Investment Manager. The Distributor serves as the distributor and underwriter for each Fund and is a registered broker-dealer and member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). Shares of each Fund will be continuously offered and will be sold directly to prospective purchasers and through brokers, dealers or other financial intermediaries who have executed selling agreements with the Distributor. Generally the Distributor bears all or a portion of the expenses of providing services pursuant to the
distribution agreement, including the payment of the expenses relating to the distribution of prospectuses for sales purposes and any advertising or sales literature.
The Trusts have adopted a distribution and service plan (the “Plan”) with respect to the Class N shares of each Fund, in accordance with the requirements of Rule12b-1 under the 1940 Act and the requirements of the applicable rules of FINRA regarding asset-based sales charges. Pursuant to the Plan, each Fund may make payments to the Distributor for its expenditures in financing any activity primarily intended to result in the sale of each Fund’s Class N shares and for maintenance and personal service provided to existing shareholders of that class. The Plan authorized payments to the Distributor up to 0.25% annually of each Fund’s average daily net assets attributable to the Class N shares.
For Class N shares and Class I shares of each Fund, the Board has approved reimbursement payments to the Investment Manager for shareholder servicing expenses (“shareholder servicing fees”) incurred. Shareholder servicing fees include payments to financial intermediaries, such as broker-dealers (including fund supermarket platforms), banks, and trust companies who provide shareholder recordkeeping, account servicing and other services. The Class N and Class I shares may reimburse the Investment Manager for the actual amount incurred up to a maximum annual rate of each Class’s average daily net assets as shown in the table below.
The impact on the annualized expense ratios for the six months ended April 30, 2020, were as follows:
Fund | Maximum Annual Amount Approved | Actual Amount Incurred | ||||||||
Core Bond ESG | ||||||||||
Class N | 0.15 | % | 0.15 | % | ||||||
Class I | 0.10 | % | 0.07 | % | ||||||
Emerging Wealth Equity | ||||||||||
Class N | 0.15 | % | 0.15 | % | ||||||
Class I | 0.15 | % | 0.10 | % | ||||||
Emerging Markets Equity | ||||||||||
Class N | 0.15 | % | 0.15 | % | ||||||
Class I | 0.15 | % | 0.02 | % |
The Board provides supervision of the affairs of the Trusts and other trusts within the AMG Funds family. The Trustees of the Trusts who are not affiliated with the Investment Manager receive an annual retainer and per meeting fees for regular, special and telephonic meetings, and they are reimbursed forout-of-pocket expenses incurred while carrying out their duties as Board members. The Chairman of the Board and the Audit Committee Chair receive additional annual retainers. Certain Trustees and Officers of the Funds are Officers and/or Directors of the Investment Manager, AMG and/or the Distributor.
The Securities and Exchange Commission (the “SEC”) granted an exemptive order that permits the Funds to lend and borrow money for certain temporary purposes directly to and from other eligible funds in the AMG Funds family. Participation in this interfund lending program is voluntary for both the borrowing and lending funds, and an interfund loan is only made if it benefits each participating fund. The Administrator manages the program according to procedures approved by the
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Notes to Financial Statements(continued) |
Board, and the Board monitors the operation of the program. An interfund loan must comply with certain conditions set out in the exemptive order, which are designed to assure fairness and protect all participating funds. The interest earned and interest paid on interfund loans are included on the Statement of Operations as interest income and miscellaneous expense, respectively. At April 30, 2020, the Funds had no interfund loans outstanding.
The following Funds utilized the interfund loan program during the six months ended April 30, 2020:
Fund | Average Lent | Number of Days | Interest Earned | Average Interest Rate | ||||||||||||
Core Bond ESG | $ | 1,272,899 | 5 | $ | 173 | 0.993 | % | |||||||||
Emerging Wealth Equity | 892,738 | 5 | 295 | 2.413 | % | |||||||||||
Fund | Average Borrowed | Number of Days | Interest Paid | Average Interest Rate | ||||||||||||
Emerging Wealth Equity | $ | 2,094,556 | 2 | $ | 175 | 1.525 | % | |||||||||
Emerging Markets Equity | 2,862,806 | 11 | 2,088 | 2.425 | % |
3. PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term securities and U.S. Government Obligations) for the six months ended April 30, 2020, were as follows:
Long Term Securities | ||||||||
Fund | Purchases | Sales | ||||||
Core Bond ESG | $ | 41,028,899 | $ | 36,463,417 | ||||
Emerging Wealth Equity | 66,008,941 | 29,644,318 | ||||||
Emerging Markets Equity | 12,949,222 | 15,323,101 |
Core Bond ESG purchases and sales of U.S. Government obligations during the six months ended April 30, 2020 were $12,846,026 and $29,631,166, respectively.
4. PORTFOLIO SECURITIES LOANED
The Funds participate in the Program providing for the lending of securities to qualified borrowers. Securities lending income includes earnings of such temporary cash investments, plus or minus any rebate to a borrower. These earnings (after any rebate) are then divided between BNYM, as a fee for its services under the Program, and the Funds, according to agreed-upon rates. Collateral on all securities loaned is accepted in cash, U.S. Treasury Obligations or U.S. Government Agency Obligations. Collateral is maintained at a minimum level of 102% (105% in the case of certain foreign securities) of the market value, plus interest, if applicable, of investments on loan. It is the Funds’ policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Funds if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Under the terms of the Program, the Funds are indemnified for such losses by BNYM. Cash collateral is held in separate omnibus accounts
managed by BNYM, who is authorized to exclusively enter into joint repurchase agreements for that cash collateral. Securities collateral is held in separate omnibus accounts managed by BNYM that cannot be sold or pledged. BNYM bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower due to any loss on the collateral invested. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities as soon as practical, which is normally within three business days.
The value of securities loaned on positions held, cash collateral and securities collateral received at April 30, 2020, were as follows:
Fund | Securities Loaned | Cash Collateral Received | Securities Collateral Received | Total Collateral Received | ||||||||||||
Emerging Wealth Equity | $ | 7,115,207 | $ | 2,357,894 | $ | 5,026,269 | $ | 7,384,163 | ||||||||
Emerging Markets Equity | 1,210,612 | 937,604 | 317,605 | 1,255,209 |
The following table summarizes the securities received as collateral for securities lending at April 30, 2020:
Fund | Collateral Type | Coupon Range | Maturity Date Range | |||||||
Emerging Wealth Equity | U.S. Treasury Obligations | 0.000 | %-8.000% | 05/15/20-02/15/50 | ||||||
Emerging Markets Equity | U.S. Treasury Obligations | 0.010 | %-8.000% | 05/31/20-08/15/49 |
5. FOREIGN SECURITIES
Certain Funds invest in securities of foreign entities and in instruments denominated in foreign currencies which involve risks not typically associated with investments in domestic securities.Non-domestic securities carry special risks, such as exposure to currency fluctuations, less developed or less efficient trading markets, political instability, a lack of company information, differing auditing and legal standards, and, potentially, less liquidity. A Fund’s investments in emerging market countries are exposed to additional risks. A Fund’s performance will be influenced by political, social and economic factors affecting companies in emerging market countries. Emerging market countries generally have economic structures that are less diverse and mature, and political systems that are less stable, than those of developed countries. Realized gains in certain countries may be subject to foreign taxes at the Fund level and the Fund would pay such foreign taxes at the appropriate rate for each jurisdiction.
6. COMMITMENTS AND CONTINGENCIES
Under the Trusts’ organizational documents, its trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trusts. In addition, in the normal course of business, the Funds may enter into contracts and agreements that contain a variety of representations and warranties, which provide general indemnifications. The maximum exposure to the Funds under these arrangements is unknown, as this would involve future claims that may be made against a Fund that have not yet occurred. However, based on experience, the Funds had no prior claims or losses and expect the risks of loss to be remote.
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Table of Contents
Notes to Financial Statements(continued) |
7. MASTER NETTING AGREEMENTS
The Funds may enter into master netting agreements with their counterparties for the securities lending program and Repurchase Agreements, which provide the right, in the event of default (including bankruptcy or insolvency) for thenon-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting agreements in the Statement of Assets and Liabilities. For securities lending transactions, see Note 4.
The following table is a summary of the Funds’ open Repurchase Agreements that are subject to a master netting agreement as of April 30, 2020:
Gross Amount Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||
Fund | Gross Amounts of Assets Presented in the Statement of Assets and Liabilities | Offset Amount | Net Asset Balance | Collateral Received | Net Amount | |||||||||||||||
Emerging Wealth Equity | ||||||||||||||||||||
Citigroup Global Markets, Inc. | $1,000,000 | — | $1,000,000 | $1,000,000 | — | |||||||||||||||
Nomura Securities International, Inc. | 357,894 | — | 357,894 | 357,894 | — | |||||||||||||||
RBC Dominion Securities, Inc. | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||||
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|
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|
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|
|
| ||||||
Total | $2,357,894 | — | $2,357,894 | $2,357,894 | — | |||||||||||||||
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| ||||||
Emerging Markets Equity | ||||||||||||||||||||
Citigroup Global Markets, Inc. | $937,604 | — | $937,604 | $937,604 | — |
8. SUBSEQUENT EVENTS
The Funds have determined that no material events or transactions occurred through the issuance date of the Funds’ financial statements which require an additional disclosure in or adjustment of the Funds’ financial statements.
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The Securities and Exchange Commission (the “SEC”) adopted Rule22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), to promote effective liquidity risk management throughout theopen-end investment company industry, thereby reducing the risk that a fund will be unable to meet its redemption obligations and mitigating dilution of the interests of fund shareholders.
The AMG Funds Family of Funds (each a “Fund,” and collectively, the “Funds”) have adopted and implemented a Liquidity Risk Management Program (the “Program”) as required by the Liquidity Rule. The Program is reasonably designed to assess and manage each Fund’s liquidity risk, taking into consideration the Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short and long-term cash flow projections, and its holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources, including access to the Funds’ credit facility. Under the Liquidity Rule, each liquidity classification category (highly liquid, moderately liquid, less liquid and illiquid) is defined with respect to the time it is reasonably expected to take to convert the investment to cash (or sell or dispose of the investment) in current market conditions without significantly changing the market value of the investment.
The Funds’ Board of Trustees (the “Board”) appointed AMG Funds, LLC (“AMGF”) as the Program administrator. AMGF formed a Liquidity Risk Management Committee (“LRMC”), which includes | members of various departments across AMGF, including Legal, Compliance, Mutual Fund Services, Investment Research and Product Analysis & Operations and, as needed, other representatives of AMGF and/or representatives of the subadvisers to the Funds. The LRMC meets on a periodic basis, no less frequently than monthly. The LRMC is responsible for the Program’s administration and oversight and for reporting to the Board on at least an annual basis regarding the Program’s operation and effectiveness.
At a meeting of the Board held on March 19, 2020, the Board received a report from the LRMC regarding the design and operational effectiveness of the Program for the period December 1, 2018 through December 31, 2019 (the “Program Reporting Period”).
The Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing a Fund’s liquidity risk, as follows:
A. The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions:
During the Program Reporting Period, the LRMC reviewed whether each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions is appropriate for anopen-end fund structure. The LRMC also factored a Fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account.
| B. Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions:
During the Program Reporting Period, the LRMC reviewed historical net redemption activity and used this information as a component to establish each Fund’s reasonably anticipated trading size. The Funds maintain anin-kind redemption policy, which may be utilized to meet larger redemption requests, when appropriate. The LRMC may also take into consideration a Fund’s shareholder ownership concentration, a Fund’s distribution channels, and the degree of certainty associated with a Fund’s short-term and long-term cash flow projections.
C. Holdings of cash and cash equivalents, as well as borrowing arrangements:
The LRMC considered the terms of the credit facilities available to the Funds.
The report concluded that, based upon the review of the Program, using resources and methodologies that AMGF considers reasonable, AMGF believes that the Program and Funds’ Liquidity Risk Management Policies and Procedures are adequate, effective, and reasonably designed to effectively manage the Funds’ liquidity risk.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to each Fund’s prospectus or statement of additional information for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in a Fund may be subject. |
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INVESTMENT MANAGER AND ADMINISTRATOR AMG Funds LLC 600 Steamboat Road, Suite 300 Greenwich, CT 06830 800.548.4539
DISTRIBUTOR AMG Distributors, Inc. 600 Steamboat Road, Suite 300 Greenwich, CT 06830 800.548.4539
SUBADVISER GW&K Investment Management, LLC 222 Berkeley St. Boston, MA 02116
CUSTODIAN The Bank of New York Mellon 111 Sanders Creek Parkway East Syracuse, NY 13057
LEGAL COUNSEL Ropes & Gray LLP Prudential Tower, 800 Boylston Street Boston, MA 02199-3600 | TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. Attn: AMG Funds P.O. Box 9769 Providence, RI 02940 800.548.4539
TRUSTEES Bruce B. Bingham Christine C. Carsman Edward J. Kaier Kurt A. Keilhacker Steven J. Paggioli Richard F. Powers III Eric Rakowski Victoria L. Sassine Thomas R. Schneeweis | This report is prepared for the Funds’ shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus. To receive a free copy of the prospectus or Statement of Additional Information, which includes additional information about Fund Trustees, please contact us by calling 800.548.4539. Distributed by AMG Distributors, Inc., member FINRA/SIPC.
Current net asset values per share for each Fund are available on the Funds’ website at amgfunds.com.
A description of the policies and procedures each Fund uses to vote its proxies is available: (i) without charge, upon request, by calling 800.548.4539, or (ii) on the Securities and Exchange Commission’s (SEC) website at sec.gov. For information regarding each Fund’s proxy voting record for the12-month period ended June 30, call 800.548.4539 or visit the SEC website at sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on FormN-PORT. The Funds’ portfolio holdings on FormN-PORT are available on the SEC’s website at sec.gov. To review a complete list of the Funds’ portfolio holdings, or to view the most recent semiannual report or annual report, please visit amgfunds.com.
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amgfunds.com | |
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AFFILIATE SUBADVISED FUNDS
BALANCED FUNDS AMG GW&K Global Allocation GW&K Investment Management, LLC
AMG FQ Global Risk-Balanced First Quadrant, L.P.
EQUITY FUNDS AMG FQTax-Managed U.S. Equity AMG FQ Long-Short Equity First Quadrant, L.P.
AMG Frontier Small Cap Growth Frontier Capital Management Co., LLC
AMG GW&K Small Cap Core AMG GW&K Small/Mid Cap AMG GW&K Emerging Markets Equity AMG GW&K Emerging Wealth Equity GW&K Investment Management, LLC
AMG Renaissance Large Cap Growth The Renaissance Group LLC
AMG River Road Dividend All Cap Value AMG River Road Focused Absolute Value AMG River Road Long-Short AMG River RoadSmall-Mid Cap Value AMG River Road Small Cap Value River Road Asset Management, LLC
AMG SouthernSun Small Cap AMG SouthernSun U.S. Equity SouthernSun Asset Management, LLC | AMG TimesSquare Emerging Markets Small Cap AMG TimesSquare Global Small Cap AMG TimesSquare International Small Cap AMG TimesSquare Mid Cap Growth AMG TimesSquare Small Cap Growth TimesSquare Capital Management, LLC
AMG Yacktman AMG Yacktman Focused AMG Yacktman Focused Fund - Security Selection Only AMG Yacktman Special Opportunities Yacktman Asset Management LP
FIXED INCOME FUNDS AMG GW&K Core Bond ESG AMG GW&K Enhanced Core Bond ESG AMG GW&K Municipal Bond AMG GW&K Municipal EnhancedYield GW&K Investment Management, LLC
OPEN-ARCHITECTURE FUNDS
EQUITY FUNDS AMG Managers Brandywine AMG Managers Brandywine Blue Friess Associates, LLC
AMG Managers Cadence Emerging Companies AMG Managers Cadence Mid Cap Cadence Capital Management LLC
AMG Managers CenterSquare Real Estate CenterSquare Investment Management LLC
| AMG Managers Emerging Opportunities WEDGE Capital Management L.L.P. Next Century Growth Investors LLC RBC Global Asset Management (U.S.) Inc.
AMG Managers Fairpointe Mid Cap Fairpointe Capital LLC
AMG Managers LMCG Small Cap Growth LMCG Investments, LLC
AMG Managers Montag & Caldwell Growth Montag & Caldwell, LLC
AMG Managers Pictet International Pictet Asset Management Limited
AMG Managers Silvercrest Small Cap Silvercrest Asset Management Group LLC
AMG Managers Skyline Special Equities Skyline Asset Management, L.P.
AMG Managers Special Equity Ranger Investment Management, L.P. Lord, Abbett & Co. LLC Smith Asset Management Group, L.P. Federated MDTA LLC
FIXED INCOME FUNDS AMG Managers Doubleline Core Plus Bond DoubleLine Capital LP
AMG Managers Global Income Opportunity AMG Managers Loomis Sayles Bond Loomis, Sayles & Company, L.P. |
amgfunds.com | | 043020 | SAR069 |
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Item 2. | CODE OF ETHICS |
Not applicable for the semi-annual shareholder report.
Item 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
Not applicable for the semi-annual shareholder report.
Item 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
Not applicable for the semi-annual shareholder report.
Item 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
Not applicable.
Item 6. | SCHEDULE OF INVESTMENTS |
The schedule of investments in unaffiliated issuers as of the close of the reporting period is included as part of the shareholder report contained in Item 1 hereof.
Item 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
Item 8. | PORTFOLIO MANAGERS OFCLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
Item 9. | PURCHASES OF EQUITY SECURITIES BYCLOSED-END MANAGEMENT INVESTMENT COMPANIES AND AFFILIATED PURCHASERS |
Not applicable.
Item 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS |
Not applicable.
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Item 11. | CONTROLS AND PROCEDURES |
(a) | The registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the registrant on FormN-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the registrant in the reports that it files or submits on FormN-CSR is accumulated and communicated to the registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure. |
(b) | There were no changes in the registrant’s internal control over financial reporting during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the internal control over financial reporting. |
Item 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
Item 13. | EXHIBITS |
(a)(1) | Not applicable. | |
(a)(2) | Certifications pursuant to Rule30a-2(a) under the Investment Company Act of 1940—Filed herewith. | |
(a)(3) | Not applicable. | |
(b) | Certifications pursuant to Rule30a-2(b) under the Investment Company Act of 1940—Filed herewith. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AMG FUNDS
By: | /s/ Keitha L. Kinne | |
Keitha L. Kinne, Principal Executive Officer | ||
Date: | July 1, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Keitha L. Kinne | |
Keitha L. Kinne, Principal Executive Officer | ||
Date: | July 1, 2020 |
By: | /s/ John Starace | |
John Starace, Principal Financial Officer | ||
Date: | July 1, 2020 |